Abstract Conditional value-at-risk (CVaR) and conditional expected shortfall (CES) are widely adopted risk measures which help monitor potential tail while adapting to evolving market information. In this paper, we propose an approach constructing simultaneous confidence bands (SCBs) for as measured by CVaR CES, with the uniformly valid a set of levels. We consider one-sided (downside or upside...

capital asset pricing, as one of the basic theories in finance and investment area, develop a model for estimation of expected rate of return and equity cost of capital. this model has many applications in the field of finance. one of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in origin...

Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student’...