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This lesson is a part of the course Common Probability Distributions
Shortfall risk refers to the probability that a portfolio will not exceed the minimum return level (target return; benchmark return). Shortfall-risk is more consistent with the investors’ intuitive perception of risk in that it focusses more on the real economic risk of an investor. On the other hand, the standard deviation is rather a measure of the volatility of financial assets. Shortfall risk is also known as downside risk.
