Which risk-measure best represents return distributions with large deviations? Online publication date: Sat, 23-Aug-2014
by Harry M. Markowitz
International Journal of Portfolio Analysis and Management (IJPAM), Vol. 1, No. 2, 2012
Abstract: This paper examines the ability of risk-return approximations - using variance, semivariance, MAD, VaR and CVaR as risk-measures - to approximate expected utility (for Bernoulli's logarithmic utility function) for historical return series including some with losses of 70%, 80% and even 90%.
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