MPT and the Downside Risk Framework: A Comment on Two Recent Studies

Ping Cheng and Marvin Wolverton

Journal of Real Estate Portfolio Management, 2001, vol. 7, issue 2, 125-131

Abstract: Executive Summary. Comparing the downside risk (DR) framework with classic modern portfolio theory (MPT) is less straightforward than it may appear. Two recent studies have attempted to compare the two models in terms of portfolio risk. This study uses an empirical example to demonstrate the pitfalls of making such comparisons. Additionally, we suggest a means of making an appropriate comparison between DR and MPT.

Date: 2001
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DOI: 10.1080/10835547.2001.12089636

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