Brouwer, F.; Ruiter, A.J.C. de - Faculteit der Economische Wetenschappen en … - 1996
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...