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The Use of Downside Risk Measures in Portfolio Construction and Evaluation

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  • Dr. Brian J. Jacobsen

Abstract

One of the challenges of using downside risk measures as an alternative constructor of portfolios and diagnostic devise is in their computational intensity. This paper outlines how to use downside risk measures to construct efficient portfolios and to evaluate portfolio performance in light of investor loss aversion

Suggested Citation

  • Dr. Brian J. Jacobsen, 2005. "The Use of Downside Risk Measures in Portfolio Construction and Evaluation," Computing in Economics and Finance 2005 5, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:5
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    File URL: http://repec.org/sce2005/up.5184.1102515146.pdf
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    References listed on IDEAS

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    1. B. B. Mandelbrot, 2001. "Scaling in financial prices: I. Tails and dependence," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 113-123.
    2. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    downside risk; portfolios; performance measure;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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