Portfolio Optimization in a Downside Risk Framework: A study of the performance of downside risk measures in investment management - Tapa blanda
Sinopsis
Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. With substantial evidence that returns are asymmetric and that investors do not exhibit quadratic utility, downside risk has been gaining increasing attention, and numerous magnitudes that capture downside risk are now well known and widely used. The present study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. Results from previous studies in this field are quite disparate and the question remains whether downside risk measures lead to more efficient allocations than variance.
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Reseña del editor
Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. With substantial evidence that returns are asymmetric and that investors do not exhibit quadratic utility, downside risk has been gaining increasing attention, and numerous magnitudes that capture downside risk are now well known and widely used. The present study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. Results from previous studies in this field are quite disparate and the question remains whether downside risk measures lead to more efficient allocations than variance.
Biografía del autor
Kheyam Mirza and Lars Huelin hold a MSc in Applied Economics and Finance from Copenhagen Business School. Both authors have been employed in SimCorp A/S as business consultants since August 2010 after finishing the present study.
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Portfolio Optimization in a Downside Risk Framework
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LAP LAMBERT Academic Publishing Apr 2011, 2011
ISBN 10: 3844301577
ISBN 13: 9783844301571
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. With substantial evidence that returns are asymmetric and that investors do not exhibit quadratic utility, downside risk has been gaining increasing attention, and numerous magnitudes that capture downside risk are now well known and widely used. The present study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. Results from previous studies in this field are quite disparate and the question remains whether downside risk measures lead to more efficient allocations than variance. 136 pp. Englisch. Nº de ref. del artículo: 9783844301571
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Portfolio Optimization in a Downside Risk Framework
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844301577
ISBN 13: 9783844301571
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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Huelin LarsKheyam Mirza and Lars Huelin hold a MSc in Applied Economics and Finance from Copenhagen Business School. Both authors have been employed in SimCorp A/S as business consultants since August 2010 after finishing the prese. Nº de ref. del artículo: 5470665
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Portfolio Optimization in a Downside Risk Framework
Publicado por
LAP LAMBERT Academic Publishing Apr 2011, 2011
ISBN 10: 3844301577
ISBN 13: 9783844301571
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
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Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. With substantial evidence that returns are asymmetric and that investors do not exhibit quadratic utility, downside risk has been gaining increasing attention, and numerous magnitudes that capture downside risk are now well known and widely used. The present study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. Results from previous studies in this field are quite disparate and the question remains whether downside risk measures lead to more efficient allocations than variance.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 136 pp. Englisch. Nº de ref. del artículo: 9783844301571
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Portfolio Optimization in a Downside Risk Framework : A study of the performance of downside risk measures in investment management
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844301577
ISBN 13: 9783844301571
Nuevo
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Librería: AHA-BUCH GmbH, Einbeck, Alemania
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Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Risk is an essential factor to consider when investing in the capital markets. The question of how one should define and manage risk is one that has gained a lot of attention and remains a popular topic in both the academic and professional world. With substantial evidence that returns are asymmetric and that investors do not exhibit quadratic utility, downside risk has been gaining increasing attention, and numerous magnitudes that capture downside risk are now well known and widely used. The present study considers six different downside risk measures and tests their relationship with the cross-section of returns as well as their performance in portfolio optimization compared to variance. Results from previous studies in this field are quite disparate and the question remains whether downside risk measures lead to more efficient allocations than variance. Nº de ref. del artículo: 9783844301571
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Portfolio Optimization in a Downside Risk Framework | A study of the performance of downside risk measures in investment management
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844301577
ISBN 13: 9783844301571
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Taschenbuch. Condición: Neu. Portfolio Optimization in a Downside Risk Framework | A study of the performance of downside risk measures in investment management | Lars Huelin (u. a.) | Taschenbuch | 136 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783844301571 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Nº de ref. del artículo: 107031550
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Portfolio Optimization in a Downside Risk Framework: A study of the performance of downside risk measures in investment management
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844301577
ISBN 13: 9783844301571
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