English, Article edition: THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY SERGIO ORTOBELLI; SVETLOZAR T. RACHEV; STOYAN STOYANOV; ...

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Bookmark: http://trove.nla.gov.au/version/82864
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
Author
  • SERGIO ORTOBELLI
  • SVETLOZAR T. RACHEV
  • STOYAN STOYANOV
  • FRANK J. FABOZZI
  • ALMIRA BIGLOVA
Physical Description
  • article
Notes
  • This paper discusses and analyzes risk measure properties in order to understand how a risk measure has to be used to optimize the investor's portfolio choices. In particular, we distinguish between two admissible classes of risk measures proposed in the portfolio literature: safety-risk measures and dispersion measures. We study and describe how the risk could depend on other distributional parameters. Then, we examine and discuss the differences between statistical parametric models and linear fund separation ones. Finally, we propose an empirical comparison among three different portfolio choice models which depend on the mean, on a risk measure, and on a skewness parameter. Thus, we assess and value the impact on the investor's preferences of three different risk measures even considering some derivative assets among the possible choices.
  • Skewness, safety risk measures, risk aversion, dispersion measures, portfolio selection, investors' preference, fund separation
  • RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1107-1133
Language
  • English
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