{"product_id":"portfolio-optimization-in-a-downside-risk-framework-von-lars-huelin-und-kheyam-mirza","title":"Portfolio Optimization in a Downside Risk Framework","description":"\u003cp\u003eRisk is an essential factor to consider when investing in the capital  markets. The question of how one should define and manage risk is  one that has gained a lot of attention and remains a popular topic in  both the academic and professional world.   With substantial evidence that returns are asymmetric and that  investors do not exhibit quadratic utility, downside risk has been  gaining increasing attention, and numerous magnitudes that capture  downside risk are now well known and widely used.   The present study considers six different downside risk measures  and tests their relationship with the cross-section of returns as well  as their performance in portfolio optimization compared to variance.  Results from previous studies in this field are quite disparate and the  question remains whether downside risk measures lead to more  efficient allocations than variance.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783844301571\"\u003e\u003ch3\u003eA study of the performance of downside risk measures in investment management\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783844301571","offer_id":39470089797725,"sku":"9783844301571","price":59.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/79e2c4ea-3f15-4353-942d-c6abcca3a95d.jpg?v=1737787098","url":"https:\/\/shop.autorenwelt.de\/en\/products\/portfolio-optimization-in-a-downside-risk-framework-von-lars-huelin-und-kheyam-mirza","provider":"Autorenwelt Shop","version":"1.0","type":"link"}