Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106
. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …
