The Use of Downside Risk Measures in Portfolio Construction and Evaluation
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References listed on IDEAS
- B. B. Mandelbrot, 2001. "Scaling in financial prices: I. Tails and dependence," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 113-123.
- 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.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999. "A Multifractal Model of Assets Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-072, New York University, Leonard N. Stern School of Business-.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "A Multifractal Model of Asset Returns," Working Papers hal-00601870, HAL.
More about this item
Keywordsdownside risk; portfolios; performance measure;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-19 (All new papers)
- NEP-FIN-2005-11-19 (Finance)
- NEP-RMG-2005-11-19 (Risk Management)
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