{"title":"中心预期缺口(CES):传统资产管理公司对下行投资风险分解的观点","authors":"Erik Kroon, Mehdi-Vincent Hacini, Koye Somefun","doi":"10.1080/14697688.2023.2269992","DOIUrl":null,"url":null,"abstract":"Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio volatility. This is problematic in the presence of non-elliptical distributions. Some...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"4 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk\",\"authors\":\"Erik Kroon, Mehdi-Vincent Hacini, Koye Somefun\",\"doi\":\"10.1080/14697688.2023.2269992\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio volatility. This is problematic in the presence of non-elliptical distributions. Some...\",\"PeriodicalId\":20747,\"journal\":{\"name\":\"Quantitative Finance\",\"volume\":\"4 1\",\"pages\":\"\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/14697688.2023.2269992\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2023.2269992","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk
Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio volatility. This is problematic in the presence of non-elliptical distributions. Some...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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