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https://repositorio.insper.edu.br/handle/11224/4869
Type: | Capítulo de Livro |
Title: | The mean-downside risk portfolio frontier: a multidimensional efficient set |
Author: | Athayde, Gustavo Monteiro de |
Publication Date: | 2003 |
Abstract: | Downside risk optimization deals with a positive definite matrix that is endogenous to portfolio weights. The great advantage of the use of semi-variance over variance is that it does not include positive gains, so what is considered as risk takes into account only negative deviations. However, one may be led to the wrong conclusion that minimizing semi-variance necessarily means minimizing only negative deviations. Although the approach to use higher moments is far more complete than the use of semi-variance, the popularity of the latter is larger, maybe because it measures risk in one number, while the use of variance, skewness, and possibly kurtosis would give us three different values to capture risk. The problem becomes even more complex when one deals with more than one asset. It should be clear that there is no such thing as a fixed well-behaved positive definite semi-variance matrix, independent of the portfolio weights, which we can pre- and post-multiply by the vector of weights of any portfolio and get its respective semi-variance. |
Keywords (english terms): | Não informado |
Language: | Inglês |
CNPq Area: | Ciências Sociais Aplicadas |
URI: | https://doi.org/10.1016/B978-075065448-7.50014-8 |
Copyright: | O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR. |
Notes: | Evidência |
Book title: | Advances in portfolio construction and implementation |
Appears in Collections: | Coleção de Capítulos de Livros |
Files in This Item:
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R_Capítulo de livro_2003_The mean-downside risk_EV.png | R_Capítulo de livro_2003_The mean-downside risk_EV | 141.33 kB | image/png | View/Open |
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