Statistical properties of the sample semi-variance

DOI10.1080/1350486022000015850zbMath1042.91053OpenAlexW2034407678MaRDI QIDQ4483611

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Publication date: 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486022000015850

zbMATH Keywords

risk measuresstochastic dominanceemerging marketsdownside risk

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Several possible measures of risk
• Some extensions of Luce's measures of risk
• Foundations of risk measurement. II. Effects of gains on risk
• Variance vs downside risk: Is there really that much difference?
• A statistically optimal estimator of semivariance
• Foundations of Risk Measurement. I. Risk As Probable Loss

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