Abstract
Applying the approach used by Eisenberg (2007) to derive the marginal price of risk for an expected value maximizing manager who has a Var constraint, I derive the marginal price of risk given a Cvar (Acerbi and Tasche, 2001), also known as an expected shortfall constraint. Despite the criticism that Var is not as good a measure of risk as Cvar, under typical conditions the marginal price of risk with a Cvar constraint is approximately the same as the price with a Var constraint.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
