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Economics of Downside Risk [PDF]
, 2019 Ever since establishment of portfolio selection theory by Markowitz (1952), the use of Standard deviation as a measure of risk has heavily been criticized. The aim of this thesis is to refine classical portfolio selection and asset pricing theory by using a downside deviation risk measure.
Spanaus, Conrad
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Systematic extreme downside risk [PDF]
Journal of International Financial Markets, Institutions and Money, 2019 Abstract We propose new systematic tail risk measures constructed using two different approaches. The first is a non-parametric measure that captures the tendency of a stock to crash at the same time as the market, while the second is based on the sensitivity of stock returns to innovations in market crash risk. Both tail risk measures are associated
Harris, Richard +2 more
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Downside risk and asset pricing [PDF]
Journal of Banking & Finance, 2006 We analyze if the value-weighted stock market portfolio is stochastic dominance (SD) efficient relative to benchmark portfolios formed on size, value, and momentum. In the process, we also develop several methodological improvements to the existing tests for SD efficiency.
Post, G.T., van Vliet, P.
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Downside Variance Risk Premium [PDF]
SSRN Electronic Journal, 2015 We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk ...
Bruno Feunou +2 more
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Borsa Istanbul Review, 2018 This study makes a comparative analysis of the explanatory power of CAPM and downside CAPM based risk measures for stock returns in Borsa Istanbul. 22 risk measures based on mean-variance and mean-semivariance approaches using global and local single ...
Mehmet Emin Yildiz, Yaman O. Erzurumlu
doaj +1 more source
Downside Risk and the Energy Hedger's Horizon [PDF]
SSRN Electronic Journal, 2012 Abstract In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. The optimal heating oil hedge ratio is first calculated for a variety of downside risk objective functions at different time-horizons using the wavelet transform.
Conlon, Thomas, Cotter, John
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The value relevance of risk-related disclosure: Does the tone of disclosure matter?
Borsa Istanbul Review, 2022 This paper investigates whether risk-related disclosure, which includes aggregate risk disclosure and its tone, including upside and downside risk disclosures, is value relevant for investors in the UK market.
Tamer Elshandidy, Cheng Zeng
doaj +1 more source
Downside risk measurement in regime switching stochastic volatility [PDF]
, 2020 Risk measurement is important to firms to enable management of risks, and ensure profitability during different firm and market events. In particular, downside risk is an important risk measure as it is a coherent risk measure, and it is also compatible ...
Mitra, S.
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Downside CAPM: The case of South Africa
Journal of Economic and Financial Sciences, 2016 Beta and the capital asset pricing model have traditionally been the preferred measures of risk. However, there is growing literature against the use of the capital asset pricing model to determine the cost of equity in markets, such as emerging markets,
Kwasi Okyere-Boakye, Brandon O’Malley
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Revisiting the home bias puzzle. Downside equity risk [PDF]
, 2005 Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint.
Campbell, R.A.J. +6 more
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