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

Author

Listed:
  • Anthony Miloudi

    (Groupe Sup de Co La Rochelle, LR-MOS - La Rochelle - Management, Organisation & Société - CEREGE [Poitiers, La Rochelle] - Centre de recherche en gestion [EA 1722] - IAE Poitiers - Institut d'Administration des Entreprises (IAE) - Poitiers - UP - Université de Poitiers = University of Poitiers - UP - Université de Poitiers = University of Poitiers - ULR - La Rochelle Université)

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.

Suggested Citation

  • Anthony Miloudi, 2011. "Applications des Mesures de Risque " Shortfall " à la Gestion Collective," Post-Print hal-00592985, HAL.
    • Handle: RePEc:hal:journl:hal-00592985
    as

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