منابع مشابه
Tales of Tails: Quantifying Extreme Downside Risk*
We document substantial practitioner interest in measures of the downside tail risk of hedge funds, such as maximum drawdown (MDD) and worst one-period loss, together with a general sentiment that “classical” performance measures such as the Sharpe Ratio do not convey enough information about tail risk. We characterize the nite-sample distribution of these measures and show that it depends line...
متن کاملMeasures of downside risk
The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted −order means of possible shortfalls. They form a subclass of the measures intro¬duced by Stone (1973) and are related to the measures proposed by Fishburn (1977). The axiomatization is based on some prope...
متن کاملAllocative Downside Risk Aversion
Traditionally, downside risk aversion is the study of the placement of a pure risk (a secondary risk) on either the upside or the downside of a primary two-state risk. When the decision maker prefers to have the secondary risk placed on the upside rather than the downside of the primary lottery, he is said to display downside risk aversion. The literature on the intensity of downside risk avers...
متن کاملExtreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets ¬リニ
Available online 11 July 2013
متن کاملDownside financial risk is misunderstood
The mathematics of downside financial risk can be difficult to understand: For example a 50% loss requires a subsequent 100% gain to break-even. A given percentage loss always requires a greater percentage gain to break-even. Instead, many non-expert investors may assume for example that a 50% gain is sufficient to offset a 50% loss. Over 3,498 participants and five experiments, the widespread ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2240825