TY - CHAP
T1 - Uncertain Mean-LPMs Model
AU - Qin, Zhongfeng
N1 - Publisher Copyright:
© 2016, Springer Science+Business Media Singapore.
PY - 2016
Y1 - 2016
N2 - Downside risk is a class of risk measures which focuses on the asymmetry of returns about some target level of return (Harlow 1991). It has gradually attracted more and more attentions since investors are often sensitive to downside losses, relative to upside gains. Moreover, it requires simpler theoretical assumptions to justify its application. In portfolio management, investors always prefer securities with smaller downside risk. In the situation with symmetrically distributed returns, some downside risks are consistent with general risk measures. For example, semivariance is exactly proportional to variance for normal distribution, which implies they are equivalent in measuring risk.
AB - Downside risk is a class of risk measures which focuses on the asymmetry of returns about some target level of return (Harlow 1991). It has gradually attracted more and more attentions since investors are often sensitive to downside losses, relative to upside gains. Moreover, it requires simpler theoretical assumptions to justify its application. In portfolio management, investors always prefer securities with smaller downside risk. In the situation with symmetrically distributed returns, some downside risks are consistent with general risk measures. For example, semivariance is exactly proportional to variance for normal distribution, which implies they are equivalent in measuring risk.
KW - Downside Risk Measures
KW - Lower Partial Moment (LPMs)
KW - Portfolio Optimization
KW - Risk-return Efficient Frontier
KW - Zigzag Uncertain Variable
UR - https://www.scopus.com/pages/publications/85125945070
U2 - 10.1007/978-981-10-1810-7_6
DO - 10.1007/978-981-10-1810-7_6
M3 - 章节
AN - SCOPUS:85125945070
T3 - Uncertainty and Operations Research
SP - 103
EP - 114
BT - Uncertainty and Operations Research
PB - Springer Nature
ER -