ENGLISH

Preparing for the Worst: Incorporating Downside Risk in Stock Market Investments

By Derrick Reagle , Hrishikesh (Rick) D. Vinod

Book information

Publisher
Wiley-Interscience
Year
2004
ISBN
0471234427, 9780471234425, 9780471686514
Open Library ID
OL7613811M
Language
english
Format
PDF
Filesize
3 MB (3050017 bytes)
Series
Wiley Series in Probability and Statistics
Edition
1
Pages
316\316
Topic
Economy
Library
mexmat
Time added
2009-07-20 03:45:11
Финансово-экономические дисциплины;Финансовая мате

Description

Stock market investors have very different reactions to downside versus upside risk. This book begins by explaining the current treatment of stock market risk and methods of lowering that risk. The authors then show that many types of asymmetry of stock returns or investor reactions cause the existing theory to fail. They present the theory of downside risk and utility theory to account for the asymmetry, showing how the previous model can be adjusted for downside risk.

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