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in BUS 4028F - Financial Economics by

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.