Risk Measurement by G-Expected Shortfall

Table 1

The time costs of calculating the G-ES for a portfolio, assuming that the proportion of money invested in each asset is the same; that is, .

	Number of assets
	10	100	500	1000	5000
	0.0433	0.0128	0.0056	0.0039	0.0017
	0.2492	0.1525	0.0983	0.0819	0.0548
	0.1304	0.0525	0.0219	0.0162	0.0072
CPU time (seconds)	0.0008	0.0013	0.0125	0.0792	5.5610