International Journal of Financial Research
On the Systematic Downside Risk Measure: A Note
Abstract
This note introduces a heuristic systematic downside risk measure. The previous return is used as benchmark of next period return to calculated semi-covariance and semi-variance. The new downside beta can avoid subjective measurements of benchmark for different investors. We demonstrate that the new downside beta is more suitable to investor risk conception.
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PDFDOI: https://doi.org/10.5430/ijfr.v7n5p51
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International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)
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