downside risk measures
Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach
... selected risk measures (downside risk measures such as semi-variance or value at risk or any other selected risk ...of risk definitions. When variance is the ...
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Fuzzy Random Linear Optimization under Possibilistic Downside Risk Measures: Minimization of Possibilistic Low Partial Moment
... new downside risk-aversion models for linear optimization (linear programming) with discrete fuzzy random ...new downside risk measures for fuzzy stochastic optimization problems, ...
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The Use of Downside Risk Measures in Portfolio Construction and Evaluation
... place, but primarily for those who do not want to actively monitor their portfolios. With the extent of the market expanding, there are now specialists who will actively monitor your portfolio for you, so this active ...
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CiteSeerX — Fuzzy portfolio optimization under downside risk measures *
... Keywords: fuzzy numbers, interval-valued expectation, possibilistic mean value, downside risk functions, fuzzy mathematical programming 1. Introduction The portfolio selection problem deals with how to form ...
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Pitfalls of downside performance measures with arbitrary targets
... the risk-free asset in mean-lower partial moment space is distinct from the familiar linear shape of this portfolio line in mean-volatility ...For downside risk measures of higher order curved ...
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CiteSeerX — Portfolio Construction with Downside Risk
... any risk measure to be of practical value in portfolio optimization ...of downside risk measures we examine the stability of the respective stock ...respective risk measure and compute ...
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Downside risk evaluation with the R package GAS
... Downside Risk Evaluation with the R Package GAS by David Ardia, Kris Boudt, and Leopoldo Catania Abstract Financial risk managers routinely use non–linear time series models to predict the ...
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The development of downside accounting beta as a measure of risk
... and downside risk measures can give very different results, which is also the case for both market and accounting ...systematic risk of companies not listed on stock markets and consequently ...
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Different downside risk approaches in portfolio optimisation
... as risk measure in portfolio optimisation to find the trade-off between the risk and ...the risk at the given level of ...the downside deviation but also the upside ...towards risk ...
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Testing Downside Risk Efficiency Under Market Distress
... distress downside risk measures like Lower Partial Moments (LP M ) are more appropriate than the standard variance to characterize ...across risk aversion ...
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The impact of heavy tails and comovements in downside-risk diversification
... diminish risk but adds complexity to its ...portfolio downside-risk measures by decomposing them in terms of commovement risk and marginal downside-risks specific of each ...
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The impact of heavy tails and comovements in downside-risk diversification
... and downside-risk averse ...those downside-risk averse investors penalizing negative returns on the ...high risk aversion ...of risk aversion and the choice of A over B can be ...
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Asset Pair-Copula Selection with Downside Risk Minimization
... of downside risk management with the so-called D-vine structure, which considers the Joe-Clayton copula and the Student t copula as building blocks for the vine pair-copula ...at risk, expected ...
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Downside Risk
... bearing downside risk in the cross section is as ...higher downside betas contemporaneously have higher average ...that downside beta is a risk attribute because stocks that have high ...
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Downside Risk and Asset Pricing
... strong risk- seeking behaviour during economic expansion periods and imposing risk aversion can be shown to nullify their ...the risk profile of firms and the risk preferences of investors are ...
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Systematic extreme downside risk
... tail risk premium, in this paper, we contribute to this literature by proposing two new measures of systematic tail risk and show that each is associated with a significant risk ...tail ...
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Conditional Downside Risk and the CAPM
... and downside-beta portfolios in our analysis of the MV and MS ...the risk of erroneously rejecting a model due to sampling error increases if we analyze portfolios that are formed on stocks characteristics ...
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Allocative Downside Risk Aversion
... Traditionally, downside risk aversion is the study of the placement of a pure risk (a secondary risk) on either the upside or the downside of a primary two-state ...secondary ...
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Downside Risk and the Momentum Effect
... In Table (4), the intercept coefficients, a , represent the proportion of the decile returns left unexplained by the regression of equation (8). The intercept coefficients increase with > ? , so that after controlling ...
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Effective downside risk management
... a risk that the market continues to sell ...The risk is of a more severe correction, that would see the loss from the protection that has been sold overwhelming the gains from the protection that was ...
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