English, Article, Journal or magazine article edition: Mean-semivariance behavior: An alternative behavioral model Estada, Javier

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Bookmark: http://trove.nla.gov.au/version/171230
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Mean-semivariance behavior: An alternative behavioral model
Author
  • Estada, Javier
Physical Description
  • preprint
Notes
  • The most widely-used measure of an asset's risk, beta, stems from an equilibrium in which investors display mean-variance behavior. This behavioral criterion assumes that portfolio risk is measured by the variance (or standard deviation) of returns, which is a questionable measure of risk. The semivariance of returns is a more plausible measure of risk (as Markowitz himself admits) and is backed by theoretical, empirical, and practical considerations. It can also be used to implement an alternative behavioral criterion, mean-semivariance behavior, that is almost perfectly correlated to both expected utility and the utility of mean compound return.
  • downside risk; semideviation; asset pricing;
  • RePEc:ebg:iesewp:d-0492
Language
  • English
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