Search Results - subject:"Downside Risk Measures"

Kappa Performance Measures with Johnson Distributions

Naguez, Naceur; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014

performance measures are based on downside risk measures, which better allows evaluating risk and performance of complex returns …

Persistent link: https://www.econbiz.de/10010891124

The risk perceptions of individual investors

Veld, Chris; Veld-Merkoulova, Yulia - 2008

Risk perceptions of individual investors are studied by asking experimental questions to 2,226 members of a consumer panel. Their responses are analyzed in order to find which risk measures they implicitly use. We find that most investors implicitly use more than one risk measure. For those...

Persistent link: https://www.econbiz.de/10009465893

Comparing downside risk measures for heavy tailed distribution

Danielsson, Jon; Jorgensen, Bjørn N.; Sarma, Mandira; … - London School of Economics (LSE) - 2005

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce …

Persistent link: https://www.econbiz.de/10011071274

A Heuristic Approach to Portfolio Optimization

Gilli, Manfred; Këllezi, Evis - Swiss Finance Institute - 2000

used to solve complex portfolio choice problems. JEL codes: G11, C61, C63. Keywords: Portfolio Optimization, Downside Risk … Measures, Heuristic Optimization, Threshold Accepting. Executive Summary Mean-variance optimization is certainly the most …

Persistent link: https://www.econbiz.de/10005612058