Measures of downside risk

Udo Ebert

Economics Bulletin, 2005, vol. 4, issue 16, 1-9

Abstract: 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.

JEL-codes: D8 (search for similar items in EconPapers)
Date: 2005-12-15
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Citations: View citations in EconPapers (6)

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