Dynamic models of semi-variance
The semi-variance is a measure of downside risk originally suggested by Markowitz (1959). More correctly termed a second order lower partial moment, it captures the volatility of a series below a target rate of return. Under a certain set of conditions, use of the variance provides the same result a...
| Main Author: | |
|---|---|
| Published: |
University of Cambridge
2001
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.596758 |