Measures of downside risk
نویسنده
چکیده
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 properties which are desirable and appropriate for the measurement of risk. I would like to thank Martin Duensing, Patrick Moyes, and Heinz Welsch for helpful comments. Citation: Ebert, Udo, (2005) "Measures of downside risk." Economics Bulletin, Vol. 4, No. 16 pp. 1−9 Submitted: October 12, 2005. Accepted: December 15, 2005. URL: http://www.economicsbulletin.com/2005/volume4/EB−05D80046A.pdf
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