Artavanis, Nikolaos T. - 2014
This paper discusses the appropriate methodology for the estimation of systematic downside risk. I find that the Hogan … downside risk framework, as defined by Markowitz (1959), and state-preference theory. Empirically, the HW downside beta … downside risk has been greatly underestimated in the past literature. Additionally, as opposed to unconditional beta, HW …