1 Dimitris Bertsimas, Geoffrey J. Lauprete, and Alexander Samarov, “Shortfall as a Risk Measure: Properties, Optimization and Applications,” Journal of Economic Dynamics and Control 28, no. 7 (2004): 1353–1381.
2 Lisa Goldberg, and Michael Hayes, “The Long View of Financial Risk,” report, MSCI Barra Research Insight (2009).
3 VaR can be computed at other likelihoods of loss as well. For example, The portfolio suffers a return worse than VaRP at 1% or less no more than 1% of the time.
4 Lisa Goldberg, and Michael Hayes, “Barra Extreme Risk,” report, MSCI Barra ...