In this paper we investigate hedging a stock portfolio with stock index futures. Instead of defining the hedge ratio as the minimum variance hedge ratio, we consider several measures of downside risk: the semivariance according to Markowitz [ 19591 and the various lower partial moments according...

In this paper we examine the difference between a Mean-Downside Risk (MDR) based asset allocation decision and a Mean-Variance (MV) based decision. Using a vector autoregressive specification, future return series, trom 1 month up to 10 years, of several US stock and bond asset classes have been...