Which risk-measure best represents return distributions with large deviations?
by Harry M. Markowitz
International Journal of Portfolio Analysis and Management (IJPAM), Vol. 1, No. 2, 2012

Abstract: This paper examines the ability of risk-return approximations - using variance, semivariance, MAD, VaR and CVaR as risk-measures - to approximate expected utility (for Bernoulli's logarithmic utility function) for historical return series including some with losses of 70%, 80% and even 90%.

Online publication date: Sat, 23-Aug-2014

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Portfolio Analysis and Management (IJPAM):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com