This article studies optimal, dynamic portfolio and wealth/consumption policies of expected utility-maximizing investors who must also manage market-risk exposure which is measured by expected shortfall (ES). We find that ES managers can incur larger losses when losses occur, compared to benchmark managers. A general-equilibrium analysis reveals that the presence of ES managers increases the market volatility during periods of significant financial market stress. We propose weighted shortfall, a coherent and moreover spectral risk measure, that can rectify the shortcomings of ES.

中文翻译：

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预期不足的风险管理

本文研究了预期效用最大化的投资者的最优，动态投资组合和财富/消费政策，这些投资者还必须管理市场风险敞口，该敞口由预期的缺口（ES）来衡量。我们发现，与基准经理相比，ES经理在发生损失时会招致更大的损失。总体均衡分析表明，在严重的金融市场压力时期，ES经理的存在会加剧市场波动。我们提出了加权不足，这是一种连贯且频谱风险度量，可以纠正ES的不足。