On the use and misuse of downside risk: It is easy to understand and easy to calculate...incorrectly

Journal of Portfolio Management

Volumn 22, Issue 2, 1996, Pages 35-42

  Sortino, Frank A ^a   Forsey, Hal J ^a  

^a SAN FRANCISCO STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030529063     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.35     Document Type: Article

References (10)

1. Aitchison, J., and J.A.C. Brown. The Lognomal Distribution. Cambridge: Cambridge University Press.
2. Baker, Leslie A. "Measuring Investment Risk: A Review." Journal of Investing, Fall 1994, pp. 47-58.
3. Effron, Bradley, and Robert Tibshirani. An Introduction to the Boot Strap. London: Chapman and Hall, 1993.
4. Fishburn, Peter. "Mean-Risk Analysis with Risk Associated with Below-Market Returns." American Economic Review, March 1977.
5. Harlow, W.V. "Asset Allocation in a Downside Risk Framework." Financial Analysts Journal, September-October 1991.
6. Kaplan, Paul D., and Laurence B. Siegel. "Portfolio Theory is Alive and Well." Journal of Investing, Fall 1994, pp. 18-23.
7. Sortino, Frank A., and David Hopelain. "The Pension Fund: Investment or Capital Budgeting Decision?" Financial Executive, August 1980.
8. Sortino, Frank A., and Lee N. Price. "Performance Measurement in a Downside Risk Framework." Journal of Investing, Fall 1994, pp. 59-64.
9. Sortino, Frank A., Robert Van Der Meer, and Shu Kwai Lin. "Why Most Investors Cannot Win with Tactical Asset Allocation." Investing Journal, Fall 1990.
10. Van Der Meer, Robert, and Frank Sortino. "Describing Uncertainty is the Key." Pensions & Investments, November 27, 1989.