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Portfolio Construction with Downside Risk

Harald Lohre, Thorsten Neumann, and Thomas Winterfeldt

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0012
Subject:
Economics and Finance, Financial Economics

Portfolio construction seeks an optimal tradeoff between a portfolio's mean return and its associated risk. Since risk may not be properly described by return volatility, portfolios are optimized in ... More


Measuring Downside Risk – Realized Semivariance *

Ole E. Barndorff‐Nielsen, Silja Kinnebrock, and Neil Shephard

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0007
Subject:
Economics and Finance, Econometrics

A number of economists have wanted to measure downside risk, the risk of prices falling, just using information based on negative returns. This has been operationalized by quantities such as ... More


Asset Allocation with Downside Risk Management

Joshua M. Davis and Sébastien Page

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0013
Subject:
Economics and Finance, Financial Economics

The 2007 to 2008 financial crisis has sparked a renewed skepticism of portfolio theory and financial engineering. As a result, key changes are taking place in how investors manage risk from the top ... More


Alternative Investments

Lars Helge Hass, Denis Schweizer, and Juliane Proelss

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0014
Subject:
Economics and Finance, Financial Economics

Monthly return distributions of alternative assets are generally not normally distributed and typically show significantly smoothed returns, which can lead to an underestimation of risk. Furthermore, ... More


Technologies for the Integration of Manufacturing Applications

Albert N. Link and John T. Scott

in Public Goods, Public Gains: Calculating the Social Benefits of Public R&D

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199729685
eISBN:
9780199894697
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199729685.003.0009
Subject:
Economics and Finance, Public and Welfare

Technologies for the Integration of Manufacturing Applications was a focused research program funded by the Advanced Technology Program. The goals of the publicly-funded privately-performed research ... More


Downside Potential Under Uncertainty: The Perceived Risk of Loss

Eric Barthalon

in Uncertainty, Expectations, and Financial Instability: Reviving Allais's Lost Theory of Psychological Time

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231166287
eISBN:
9780231538305
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231166287.003.0011
Subject:
Economics and Finance, Behavioural Economics

This chapter examines how time can be introduced in the assessment of downside risk, that is, how Maurice Allais's paradox and his theory of psychological time can be combined into the perceived risk ... More


Downside Potential Under Risk: The Allais Paradox and Its Conflicting Interpretations

Eric Barthalon

in Uncertainty, Expectations, and Financial Instability: Reviving Allais's Lost Theory of Psychological Time

Published in print:
2014
Published Online:
November 2015
ISBN:
9780231166287
eISBN:
9780231538305
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231166287.003.0010
Subject:
Economics and Finance, Behavioural Economics

This chapter focuses on the psychological importance of downside risk by presenting Maurice Allais's paradox and by contrasting how Allais and prospect theory have interpreted this paradox. It also ... More


Evaluating Cash Flow at Risk

Lars Oxelheim and Clas Wihlborg

in Corporate Decision-Making with Macroeconomic Uncertainty: Performance and Risk Management

Published in print:
2008
Published Online:
May 2009
ISBN:
9780195335743
eISBN:
9780199868964
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195335743.003.0007
Subject:
Economics and Finance, Financial Economics

Risk associated with a particular macroeconomic variable depends not only on the firm's exposure to it, but also on the degree of uncertainty about the variable, and its relation with other variables ... More


The Small Business Innovation Development Act of 1982

Dennis Patrick Leyden and Albert N. Link

in Public Sector Entrepreneurship: U.S. Technology and Innovation Policy

Published in print:
2015
Published Online:
December 2014
ISBN:
9780199313853
eISBN:
9780190220976
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199313853.003.0008
Subject:
Economics and Finance, Public and Welfare

This chapter argues that the Small Business Innovation Development Act of 1982, and more specifically the Small Business Innovation Research (SBIR) program portion of that Act, is a prime example of ... More


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