Average drawdown risk reduction and risk tolerances

Mohammad Reza Tavakoli Baghdadabad

Research in Economics, 2014, vol. 68, issue 3, 264-276

Abstract: We investigate the effects of average drawdown risk reduction on US mutual funds. Due to numerous evidence of the asymmetric distribution of portfolio returns, the asymmetric risk measures have extensively been used in risk management during the recent decades with extensive usages on the n-degree lower partial moment (LPM) methodology. Unlike the previous literature, we use the n-degree average drawdown risk measure, which is a special case of n-degree LPM, to empirically investigate the impacts of n-degree average drawdown risk reduction on the risk tolerances generated by the US mutual funds.

Keywords: Drawdown risk measure (DRM); Average drawdown risk measure (A-DRM); Lower partial moment (LPM); Downside risk; Investors׳ perception; Risk tolerance (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1090944314000155
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reecon:v:68:y:2014:i:3:p:264-276

DOI: 10.1016/j.rie.2014.02.002

Access Statistics for this article

Research in Economics is currently edited by Federico Etro

More articles in Research in Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().