کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085291 1477943 2009 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds
چکیده انگلیسی

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 of downside risk reduction on UK portfolio diversification and returns. Data on Managed Futures Funds are used to replicate the increasingly popular preference of investors for including hedge funds and fund-of-funds type investments in the UK equity portfolios. The result indicates, however that the potential benefits of fund diversification may deteriorate following reductions in downside risk tolerance levels. These results appear to reinforce the importance of risk (tolerance) perception, particularly downside risk, when making decisions to include Managed Futures Funds in UK equity portfolios as the empirical analysis suggests that this could negatively affect portfolio returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 18, Issue 5, December 2009, Pages 303-310
نویسندگان
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