Decision Sciences
3 years ago

New downside risk measure improves financial decision-making for investors.

1 view
SSRN Electronic Journal
Note on the Relation Between the Downside Risk Aversion Measure d and the Schwarzian Downside Risk Aversion Measure S

Paper Summary

The downside risk aversion measure du is a specific type of the more general Schwarzian downside risk aversion measure Su. When certain preferences are met, du takes on the good qualities of Su.

Related papers

Decision Sciences
2 years ago

Dynamic hybrid portfolio model boosts returns and reduces downside risk.

Robust Optimization
Reservoir Management
Option Pricing
Economics, Econometrics and Finance
5 years ago

New model accurately measures downside risk for better financial management.

Option Pricing
Financial Volatility
Robust Optimization
Decision Sciences
8 years ago

New study finds downside risk leads to higher stock returns

Robust Optimization