Symmetric vs. Downside Risk: Does It Matter for Portfolio Choice?
While symmetric measures of risk, such as variance, have been conven- tionally used in ?nance, downside risk measures are arguably more intuitive although computationally more complex to use. Opponents of symmetric risk measures suggest that investors use downside risk approach to invest- ment decisions. In this paper, using French stock market data, we empir- ically test whether the two approaches to portfolio optimization produce signi?cantly di¤erent outcomes. Our results suggest portfolio choice under downside risk and symmetric risk frameworks yield similar results. Our paper contributes to the ongoing debate on the relevance of symmetric vs. downside risk measures.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: 61, Avenue de la Forêt Noire, F-67085 Strasbourg Cedex|
Phone: (33) 3 90 41 41 30
Fax: (33) 3 90 41 40 50
Web page: http://ifs.unistra.fr/large
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:lar:wpaper:2009-13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christophe J. Godlewski)
If references are entirely missing, you can add them using this form.