The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds

The concept of asymmetric risk estimation has become more widely applied in risk management in recent years with the increased use of Value-at-risk (VaR) methodologies. This paper uses the n-degree lower partial moment (LPM) models, of which VaR is a special case, to empirically analyse the effect o...

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Bibliographic Details
Main Author: Kai-Hong Tee
Format: Default Article
Published: 2009
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other law and legal studies not elsewhere classified
Downside risk
Value-at-risk
Lower partial moment
Managed futures
Portfolio diversification
Law
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/14794
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