On the Systematic Downside Risk Measure: A Note

Yin-Ching Jan

International Journal of Financial Research, 2016, vol. 7, issue 5, 51-55

Abstract: This note introduces a heuristic systematic downside risk measure. The previous return is used as benchmark of next period return to calculated semi-covariance and semi-variance. The new downside beta can avoid subjective measurements of benchmark for different investors. We demonstrate that the new downside beta is more suitable to investor risk conception.

Keywords: systematic downside risk; downside beta (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:7:y:2016:i:5:p:51-55

DOI: 10.5430/ijfr.v7n5p51

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