A Moment Expansion of Downside Risk Measures

A decomposition of a sub-class of spectral risk measures is introduced in terms of L-moments accounting for geometric characteristics of the return distribution similar to the ones described by the ordinary moments.

Author(s):

Stoyan V. Stoyanov

Professor of Finance, EDHEC Business School

The decomposition completely characterises the spectral risk measures with square-integrable risk aversion functions and can be regarded as a link between higherorder moment risk and downside risk measures. Coherent approximations based on only a few L-moments can be successfully constructed for continuous risk aversion functions and can be applied to problems in portfolio theory to analyse the incremental impact of higher order moments on optimal allocations.
Pdf
A Moment Expansion of Downside Risk Measures...
(-1.00 B)
Type: Working paper
Date: le 06/12/2010
Extra information : For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
Research Cluster : Finance

See Also

SESC POMPEIA, A UNIQUE, HYBRID CULTURAL SPACE
News
- 16-01-2019
The fifth step of the Wide Open Project – a world tour of “positive ecosystems” – was...
How guest speaker talks provides unfiltered market insights?
News
- 11-01-2019
Eloi Foulon, MSc in Global & Sustainable Business student, shares his reaction to...
Scientific Beta named
News
- 09-01-2019
Scientific Beta is pleased to announce that it has won the prestigious Risk Award for "...
[Tell Me Your Research] Facing Family Business Challenges
News
- 20-12-2018
What are the most pressing issues facing family businesses today? The biggest challenge...