Looking Beyond Variance: The power of Expected Shortfall in crisis-resilient portfolios
The 21st century has been marked by repeated financial crises that have challenged the effectiveness of traditional portfolio management strategies. Events such as the 2008 financial crisis, the Eurozone debt crisis, and the COVID-19 pandemic have exposed the vulnerabilities of conventional models, such as the widely used Markowitz (1952) mean-variance framework. Since this model balances risk and
