Matches in SemOpenAlex for { <https://semopenalex.org/work/W246809123> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W246809123 abstract "Author(s): Goldberg, Lisa R.; Hayes, Michael Y.; Mahmoud, Ola | Abstract: (from the introduction...)In this paper, we combine the innovations described above in an empirical study of expected shortfall optimization with Factor-Based Extreme Risk. We avoid the issue of forecasting mean return by comparing minimum expected shortfall to minimum variance portfolios. Our study is carried out for the US, UK, and Japanese equity markets and it uses Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing expected shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of expected shortfall is due to intuitive tilts towards protective factors like Value, and away from aggressive factorslike Growth and Momentum. The outperformance is largest for the expected shortfall at relatively low confidence levels, which measures distributional asymmetry rather than the extreme losses." @default.
- W246809123 created "2016-06-24" @default.
- W246809123 creator A5015857119 @default.
- W246809123 creator A5064710743 @default.
- W246809123 creator A5070643137 @default.
- W246809123 date "2012-07-01" @default.
- W246809123 modified "2023-09-24" @default.
- W246809123 title "Minimizing Shortfall (revised)" @default.
- W246809123 cites W1756555988 @default.
- W246809123 cites W2046396733 @default.
- W246809123 cites W2166215547 @default.
- W246809123 cites W2166362129 @default.
- W246809123 cites W315644267 @default.
- W246809123 hasPublicationYear "2012" @default.
- W246809123 type Work @default.
- W246809123 sameAs 246809123 @default.
- W246809123 citedByCount "0" @default.
- W246809123 crossrefType "journal-article" @default.
- W246809123 hasAuthorship W246809123A5015857119 @default.
- W246809123 hasAuthorship W246809123A5064710743 @default.
- W246809123 hasAuthorship W246809123A5070643137 @default.
- W246809123 hasConcept C10138342 @default.
- W246809123 hasConcept C105795698 @default.
- W246809123 hasConcept C106159729 @default.
- W246809123 hasConcept C121955636 @default.
- W246809123 hasConcept C147581598 @default.
- W246809123 hasConcept C149782125 @default.
- W246809123 hasConcept C162118730 @default.
- W246809123 hasConcept C162324750 @default.
- W246809123 hasConcept C17744445 @default.
- W246809123 hasConcept C196083921 @default.
- W246809123 hasConcept C199539241 @default.
- W246809123 hasConcept C199728807 @default.
- W246809123 hasConcept C2780821815 @default.
- W246809123 hasConcept C32896092 @default.
- W246809123 hasConcept C33923547 @default.
- W246809123 hasConcept C5496284 @default.
- W246809123 hasConcept C60718061 @default.
- W246809123 hasConcept C94128290 @default.
- W246809123 hasConceptScore W246809123C10138342 @default.
- W246809123 hasConceptScore W246809123C105795698 @default.
- W246809123 hasConceptScore W246809123C106159729 @default.
- W246809123 hasConceptScore W246809123C121955636 @default.
- W246809123 hasConceptScore W246809123C147581598 @default.
- W246809123 hasConceptScore W246809123C149782125 @default.
- W246809123 hasConceptScore W246809123C162118730 @default.
- W246809123 hasConceptScore W246809123C162324750 @default.
- W246809123 hasConceptScore W246809123C17744445 @default.
- W246809123 hasConceptScore W246809123C196083921 @default.
- W246809123 hasConceptScore W246809123C199539241 @default.
- W246809123 hasConceptScore W246809123C199728807 @default.
- W246809123 hasConceptScore W246809123C2780821815 @default.
- W246809123 hasConceptScore W246809123C32896092 @default.
- W246809123 hasConceptScore W246809123C33923547 @default.
- W246809123 hasConceptScore W246809123C5496284 @default.
- W246809123 hasConceptScore W246809123C60718061 @default.
- W246809123 hasConceptScore W246809123C94128290 @default.
- W246809123 hasLocation W2468091231 @default.
- W246809123 hasOpenAccess W246809123 @default.
- W246809123 hasPrimaryLocation W2468091231 @default.
- W246809123 hasRelatedWork W2027464281 @default.
- W246809123 hasRelatedWork W2035481733 @default.
- W246809123 hasRelatedWork W2048772869 @default.
- W246809123 hasRelatedWork W2117890647 @default.
- W246809123 hasRelatedWork W2262885185 @default.
- W246809123 hasRelatedWork W2497035751 @default.
- W246809123 hasRelatedWork W2529955058 @default.
- W246809123 hasRelatedWork W2570610363 @default.
- W246809123 hasRelatedWork W2619543724 @default.
- W246809123 hasRelatedWork W2770846017 @default.
- W246809123 hasRelatedWork W2807689853 @default.
- W246809123 hasRelatedWork W2985208125 @default.
- W246809123 hasRelatedWork W2985964053 @default.
- W246809123 hasRelatedWork W2992148978 @default.
- W246809123 hasRelatedWork W3121301062 @default.
- W246809123 hasRelatedWork W3121451334 @default.
- W246809123 hasRelatedWork W3121997618 @default.
- W246809123 hasRelatedWork W3122014475 @default.
- W246809123 hasRelatedWork W3123640784 @default.
- W246809123 hasRelatedWork W3124563788 @default.
- W246809123 isParatext "false" @default.
- W246809123 isRetracted "false" @default.
- W246809123 magId "246809123" @default.
- W246809123 workType "article" @default.