The main aim of research was to check if downside risk is priced at Warsaw Stock Exchange. The analyzing of changing in models parameters in different phase of economic situation was the additional aim. Semi-variance was better measure of risk then variance in capital asset pricing model. The...

The classical models for the construction of an investment portfolio can be criticized for several reasons. First, it takes into account only information that is revealed in the market prices of stocks. Second, variance can be a poor risk measure if the distribution of returns differs much from...

The classical models for the construction of an investment portfolio can be criticized for several reasons. First, it takes into account only information that is revealed in the market prices of stocks. Second, variance can be a poor risk measure if the distribution of returns differs much from...

This article analyses the relationship between the volatility and sensitivity measures determined based on accounting profitability ratios and those calculated based on rates of return of public corporations from DJIA. The study employed downside and symmetric risk measures. The average...

In the classic Markowitz model, risk is measured by the return rates variance. However, equal treatment of negative and positive deviations from the expected return rate is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations...