Portfolio Diversification Effects of Downside Risk

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Fuzzy portfolio optimization under downside risk measures

This paper presents two fuzzy portfolio selection models where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. We assume that the rates of returns on securities are approximated as LR-fuzzy numbers of the same shape, and that the expected return and risk are evaluated by interval-valued means. We establish the relationship between t...

متن کامل

Portfolio selection with limited downside risk

A safety-first investor maximizes expected return subject to a downside risk constraint. w Arzac and Bawa Arzac, E.R., Bawa, V.S., 1977. Portfolio choice and equilibrium in capital x markets with safety-first investors. Journal of Financial Economics 4, 277–288. use the Value at Risk as the downside risk measure. The paper by Gourieroux, Laurent and Scaillet estimates the optimal safety-first p...

متن کامل

Worst case portfolio vectors and diversification effects

We consider the problem of identifying the worst case dependence structure of a portfolio X1, . . . ,Xn of d-dimensional risks, which yields the largest risk of the joint portfolio. Based on a recent characterization result of law invariant convex risk measures the worst case portfolio structure is identified as a μ-comonotone risk vector for some worst case scenario measure μ. It turns out tha...

متن کامل

Downside Loss Aversion and Portfolio Management

Downside loss averse preferences have seen a resurgence in the portfolio management literature. This is due to the increasing usage of derivatives in managing equity portfolios, and the increased usage of quantitative techniques for bond portfolio management. We employ the lower partial moment as a risk measure for downside loss aversion, and compare mean-variance (M-V) and mean-lower partial m...

متن کامل

Portfolio Diversification in Europe

Have the euro and accompanying measures of financial integration had a discernable impact on the deree of diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative avenues. First we focus on the final outcome: If European investors are indeed better diversified, their consumption should be increasingly correlated. Second w...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Financial Econometrics

سال: 2005

ISSN: 1479-8409,1479-8417

DOI: 10.1093/jjfinec/nbi004