A Brief History of Downside Risk Measures
- 31 August 1999
- journal article
- Published by With Intelligence LLC in The Journal of Investing
- Vol. 8 (3) , 9-25
- https://doi.org/10.3905/joi.1999.319365
Abstract
Downside risk measures in portfolio analysis purport to be a major improvement over traditional portfolio theory. This article traces the development of the concept from the initial portfolio theory articles in 1952 to articles in the Journal of Investing in 1994. An understanding of the issues facing the researchers provides better knowledge of the concept.This publication has 3 references indexed in Scilit:
- Problems in Evaluating the Performance of Portfolios with OptionsCFA Magazine, 1985
- Managerial Risk Preferences for Below-Target ReturnsManagement Science, 1980
- Composite Measures for the Evaluation of Investment PerformanceJournal of Financial and Quantitative Analysis, 1979