The Expected Shortfall is a risk measure, which is also known as Conditional Value-at-Risk. It adds to the VaR since it determines the expected loss in case the probability level is exceeded.
Value-at-Risk is a common risk measure in the financial industry. Based on a real time series, I show how to determine the VaR empirically and analytically using the assumption of normal distributed returns.
How many shares are necessary for a well-diversified portfolio? Applying the concept of naïve diversification, we try to answer this particular question.