Dynamic Downside Risk Measure and Optimal Investment Behaviors
نویسندگان
چکیده
This article highlights the importance of investorsdownside-risk concerns, and examines optimal investment behaviors in a dynamic downside-risk framework. The authors does not only derive an analytical expression of investors optimal behaviors, but also provide economic insights of the properties of the downside risk measure and optimal investment strategies using comparative statics. It sheds light on both academic and practical applications of dynamic below-target semi-variance model to the elds of risk management and investment decision making.
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تاریخ انتشار 2007