Statistical properties of the sample semi-variance

DOI10.1080/1350486022000015850MaRDI QIDQ4483611zbMATH OpenOpenAlexFDO

Authors

Publication date 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486022000015850

zbMATH Keywords

downside riskemerging marketsrisk measuresstochastic dominance

Mathematics Subject Classification ID

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Cites work

• A statistically optimal estimator of semivariance
• Foundations of Risk Measurement. I. Risk As Probable Loss
• Foundations of risk measurement. II. Effects of gains on risk
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• Several possible measures of risk
• Some extensions of Luce's measures of risk
• Variance vs downside risk: Is there really that much difference?

Cited in

(4)

• The comparison of the risk measuring methods based on the semi-variance and variance
• Measuring downside risk -- realized semivariance
• A practical approach to semideviation and its time scaling in a jump-diffusion process
• Estimating mean-standard deviation ratios of financial data

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