Shortfall risk measures
Starting-point of the shortfall risk measures is a target return, for example an one-month
market return, defined by the investor. Risk is than to be considered as the possibility
not to come up to this target return. Special cases of shortfall risk measures are the
shortfall probability, the shortfall expectation and the shortfall variance.
See also:
risk,
target return
Literature:
Albrecht (1994)
