Applications des Mesures de Risque " Shortfall " à la Gestion Collective

Anthony Miloudi ()

Post-Print from HAL

Abstract: The main scope of this paper is to reconsider the use of the VaR as a measure of the risk exposure of a portfolio and as a performance measurement of a mutual fund. We propose an alternative measure of risk based on "downside risk" on a sample formed by 2315 French mutual funds. The exhaustiveness of the study allows us to rule on the merits of the use of such methods of risk management employed by portfolio managers.

Keywords: Value-at-risk; Mutual funds; Performance measurement; Valeur-en-risque; Expected shortfall; Performance de portefeuille; OPCVM (search for similar items in EconPapers)
Date: 2011-06-01
References: Add references at CitEc
Citations:

Published in La Revue du Financier, 2011, n°184, p. 45-59

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00592985

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().