Asset allocation and downside risk

2021 ◽  
Vol 2 (3) ◽  
pp. 268
Author(s):  
Joel R. Barber
Keyword(s):  
Asset Allocation ◽  
Downside Risk

scholarly journals Mean-Variance Optimization Is a Good Choice, But for Other Reasons than You Might Think

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 29 ◽  
Author(s):  
Andrea Rigamonti
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Risk Measures ◽  
Traditional Approach ◽  
Real Data ◽  
Downside Risk ◽  
Good Choice ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Allocation Decisions

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths and weaknesses of semivariance and how to minimize it for asset allocation decisions. We then apply this approach to a variety of simulated and real data and show that the traditional approach based on the variance generally outperforms it. The results hold even if the CVaR is used, because all downside risk measures are difficult to estimate. The popularity of variance as a measure of risk appears therefore to be rationally justified.

Asset Allocation in a Downside-Risk Framework

1991 ◽  
Vol 47 (5) ◽  
pp. 28-40 ◽  
Author(s):  
W.V. Harlow
Keyword(s):  
Asset Allocation ◽  
Downside Risk ◽  
Risk Framework

Asset Allocation in a Downside Risk Framework

2000 ◽  
Vol 6 (3) ◽  
pp. 213-223 ◽  
Author(s):  
Tien Foo ◽  
Seow Eng
Keyword(s):  
Asset Allocation ◽  
Downside Risk ◽  
Risk Framework

Asset Allocation with Downside Risk Management

2013 ◽  
pp. 293-313 ◽  
Author(s):  
Joshua M. Davis ◽  
Sébastien Page
Keyword(s):  
Risk Management ◽  
Asset Allocation ◽  
Downside Risk

scholarly journals A dynamic asset allocation model with downside risk control

2000 ◽  
Vol 3 (1) ◽  
pp. 91-113 ◽  
Author(s):  
Yonggan Zhao ◽  
William Ziemba
Keyword(s):  
Asset Allocation ◽  
Risk Control ◽  
Downside Risk ◽  
Dynamic Asset Allocation ◽  
Allocation Model
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