Portfolio Optimization in a Downside Risk Framework: A study of the performance of downside risk measures in investment management - Softcover

Huelin, Lars; Mirza, Kheyam

 
9783844301571: Portfolio Optimization in a Downside Risk Framework: A study of the performance of downside risk measures in investment management
Softcover
ISBN 10: 3844301577 ISBN 13: 9783844301571
Verlag: LAP LAMBERT Academic Publishing, 2011

Inhaltsangabe

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.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Über die Autorin bzw. den Autor

Kheyam Mirza and Lars Huelin hold a MSc in Applied Economics andFinance from Copenhagen Business School. Both authors have been employed inSimCorp A/S as business consultants since August 2010 after finishing thepresent study.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3844301577
ISBN 13 
9783844301571
Einband
Taschenbuch
Anzahl der Seiten
136
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Edicoes Nosso Conhecimento
customerservice@vdm-vsg.de

SIA
Riga
1039
Litauen