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SSRN Electronic Journal, 2012
In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively ...
Adam Farago, Romeo Tedongap
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In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment related factors are also priced. They can be interpreted as a disappointment, a market downside, and a volatility downside factor, respectively ...
Adam Farago, Romeo Tedongap
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2021
The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
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The purpose of this chapter is to address the main developments and challenges on risk assessment and portfolio management. The former innovation in modern portfolio theory, Markowitz, has been succeeded from linear and non-linear optimization techniques that improve portfolio efficiency. Special emphasis is given on Roy's seminal work on “Safety First
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Greater Parametric Downside Risk Aversion
SSRN Electronic Journal, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Keenan, Donald C., Snow, Arthur
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Extreme Downside Risk and Financial Crises [PDF]
SSRN Electronic Journal, 2015 We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility ...
Harris, Richard D. F. +2 more
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Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measure
Communications in Statistics - Simulation and Computation, 2013In this article, we propose a general downside risk measure based on high-frequency downward moves below minimum acceptable target in asset prices. We derive the central limit theorem of this measure, and Monte Carlo simulation experiments support our theoretical results.
Tao Bi, Bo Zhang, Huishan Wu
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Decentralized Downside Risk Management
SSRN Electronic Journal, 2008The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized as opposed to being direct investors in assets, it is difficult to separate the risks of the assets in the portfolio from the risks generated by the investment decisions by the fund management to construct the portfolio.
Andrea Reed +2 more
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Measuring Downside Portfolio Risk
The Journal of Portfolio Management, 1999Value at risk (VaR) is an approach used in risk management to measure downside risk. Not all VaRs, however, are created equal. Defining and accurately measuring market risk is a considerable task. VaR estimates depend on a number of inputs, including assumptions, data parameters, and methodology.
Frederik Johansson +2 more
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MEASURING ORGANIZATIONAL DOWNSIDE RISK
Strategic Management Journal, 1996Despite widespread incorporation of risk measures in strategy research, there is little consensus regarding the meaning and measurement of risk. In contrast to the variability measures widely used in strategy studies, this paper draws from behavioral decision theory, finance, and management theory to present an alternative perspective on organizational
KENT D. MILLER, JEFFREY J. REUER
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Mathematical Social Sciences
The paper investigates different measures of downside risk aversion and relations among them. The authors begin with the relation between risk preference \(u\) and risk neutrality \(\eta\) expressed as \(u = \phi(\eta)\) and its inverse \(\eta = \psi(u)\).
Keenan, Donald C., Snow, Arthur
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The paper investigates different measures of downside risk aversion and relations among them. The authors begin with the relation between risk preference \(u\) and risk neutrality \(\eta\) expressed as \(u = \phi(\eta)\) and its inverse \(\eta = \psi(u)\).
Keenan, Donald C., Snow, Arthur
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Journal of Applied Corporate Finance, 2006
Although investors associate risk with negative outcomes and downside fluctuations, modern portfolio theory does not. For investors, volatility per se is not necessarily bad; volatility below a benchmark is. A stock that magnifies the market's fluctuations is not necessarily bad; one that magnifies the market's downside swings is. Even Harry Mar‐kowitz,
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Although investors associate risk with negative outcomes and downside fluctuations, modern portfolio theory does not. For investors, volatility per se is not necessarily bad; volatility below a benchmark is. A stock that magnifies the market's fluctuations is not necessarily bad; one that magnifies the market's downside swings is. Even Harry Mar‐kowitz,
openaire +1 more source