The impact of downside risk on risk-adjusted performance of mutual funds in the Euronext markets
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References listed on IDEAS
- Leif Andersen & Jesper Andreasen, 2000. "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing," Review of Derivatives Research, Springer, vol. 4(3), pages 231-262, October.
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- Masaki Mori & Ming Zhang, 2006. "Foreign Real Estate Security Investments for Japanese Investors," International Real Estate Review, Asian Real Estate Society, vol. 9(1), pages 1-26.
- Karyl Leggio & Donald Lien, 2003. "An empirical examination of the effectiveness of dollar-cost averaging using downside risk performance measures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 211-223, June.
More about this item
KeywordsDownside risk; mutual funds; performance measurement; risk preference; asymmetric return distributions;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-26 (All new papers)
- NEP-CFN-2004-07-26 (Corporate Finance)
- NEP-CMP-2004-07-26 (Computational Economics)
- NEP-FIN-2004-07-26 (Finance)
- NEP-FMK-2004-07-26 (Financial Markets)
- NEP-RMG-2004-07-26 (Risk Management)
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