The Use of Downside Risk Measures in Portfolio Construction and Evaluation
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
|Date of creation:||11 Nov 2005|
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- B. B. Mandelbrot, 2001. "Scaling in financial prices: I. Tails and dependence," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 113-123.
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Cowles Foundation Discussion Papers
1164, Cowles Foundation for Research in Economics, Yale University.
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