Spreitzer, U.W.; Reznik, V. - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 423-426
Using a portfolio built from bonds (investment without volatility) and shares (investment with volatility) corresponding to the CAPM we calculate the possible loss of this portfolio. The loss is measured by a so-called lower partial moment of the rate of return of the portfolio. Using this loss,...