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

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Year of publication:	2005-11-11
Authors:	Jacobsen, Dr. Brian J.
Institutions:	Society for Computational Economics - SCE
Subject:	downside risk \| portfolios \| performance measure

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Extent:	application/pdf
Series:	Computing in Economics and Finance 2005.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Computing in Economics and Finance 2005 Number 5
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005345044