This article reviews two leading measures of financial risk and an emerging alternative.
Embraced by the Basel accords, value-at-risk and expected shortfall are the leading …

Both stochastic dominance and Omegaratio can be used to examine whether the market is
efficient, whether there is any arbitrage opportunity in the market and whether there is any …

We present a general framework for a comparative theory of variability measures, with a
particular focus on the recently introduced one-parameter families of inter-Expected Shortfall …

The Omega ratio, a performance measure that separately considers upside and downside
deviations from a fixed threshold, improves the Sharpe ratio by incorporating the higher …

Expectiles are the solution to an asymmetric least squares minimization problem for
univariate data. They resemble the quantiles, and just like them, expectiles are indexed by a …

In this paper, we utilize the conditional value-at-risk to quantify the risk exposure and the
generalized Pareto distribution copula technique to analyse extreme events which helps in …

A substantial body of work in the last 15 years has shown that expectiles constitute an
excellent candidate for becoming a standard tool in probabilistic and statistical modeling …

In the literature, quite a few measures have been proposed for quantifying the deviation of a
probability distribution from symmetry. The most popular of these skewness measures are …

We study portfolio selection under the objective of maximizing the Omega ratio, proposed by
Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance …

Expectiles are asymmetric generalizations of mean that are extensively employed by
statisticians in regression analysis. In the last decade, the coherence and elicitability …