Variance vs downside risk: Is there really that much difference?

DOI10.1016/S0377-2217(98)00258-6zbMath0935.91021MaRDI QIDQ1296359

Henk Grootveld, Winfried G. Hallerbach

Publication date: 2 August 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

portfolio optimization; downside risk; estimation risk; lower partial moments; semi-variance

Mathematics Subject Classification ID

Related Items

Statistical properties of the sample semi-variance, AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION, Minimax mean-variance models for fuzzy portfolio selection, Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures, A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns, Fuzzy portfolio optimization under downside risk measures, Mean-semivariance models for fuzzy portfolio selection, Risk curve and fuzzy portfolio selection, Shortfall as a risk measure: properties, optimization and applications, Manufacturer cooperation in supplier development under risk, A note on a minimax rule for portfolio selection and equilibrium price system, Portfolio selection based on fuzzy cross-entropy, Comparative statics under uncertainty: The case of mean-variance preferences., Analysis of the conditional stock-return distribution under incomplete specification., The computation of the worst conditional expectation., Portfolio optimization for wealth-dependent risk preferences, Mean-variance analysis of a single supplier and retailer supply chain under a returns policy, Non-separation in the mean -- lower-partial-moment portfolio optimization problem, The impact of financial leverage on risk of equity measured by loss-oriented risk measures: an option pricing approach, A new perspective for optimal portfolio selection with random fuzzy returns, Portfolio selection with a new definition of risk, On extending the LP computable risk measures to account downside risk, Extending the MAD portfolio optimization model to incorporate downside risk aversion, Robust portfolio selection under downside risk measures

Cites Work

• Unnamed Item
• A characterization of the distributions that imply mean-variance utility functions
• Computation of mean-semivariance efficient sets by the critical line algorithm
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• A Stochastic Programming Model
• Risk Aversion in the Small and in the Large
• Safety First and the Holding of Assets