Is the expected shortfall of a risk free asset always zero? If not, why? How would one find it?

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It is zero if you set your benchmark less than or equal to the risk free return (*r*) but if you were to set your benchmark return (L) to be above* r *then you would have a certain shortfall.

Expected shortfall relies on the randomness of returns but a risk free asset has a guaranteed return. The return is like a piece-wise function which will be some fixed value *r *with probability = 1 and takes on any other value with probability = 0. It's probably better to think of it as a certain shortfall, rather than an expected shortfall in this case.

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