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The Use of Downside Risk Measures in Portfolio Construction and Evaluation

Dr. Brian J. Jacobsen

No 5, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: One of the challenges of using downside risk measures as an alternative constructor of portfolios and diagnostic devise is in their computational intensity. This paper outlines how to use downside risk measures to construct efficient portfolios and to evaluate portfolio performance in light of investor loss aversion

Keywords: downside risk; portfolios; performance measure (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-rmg
Date: 2005-11-11
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http://repec.org/sce2005/up.5184.1102515146.pdf (application/pdf)

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