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On the Systematic Downside Risk Measure: A Note

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  • Yin-Ching Jan

Abstract

This note introduces a heuristic systematic downside risk measure. The previous return is used as benchmark of next period return to calculated semi-covariance and semi-variance. The new downside beta can avoid subjective measurements of benchmark for different investors. We demonstrate that the new downside beta is more suitable to investor risk conception.

Suggested Citation

  • Yin-Ching Jan, 2016. "On the Systematic Downside Risk Measure: A Note," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 7(5), pages 51-55, October.
    • Handle: RePEc:jfr:ijfr11:v:7:y:2016:i:5:p:51-55
    DOI: 10.5430/ijfr.v7n5p51
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    Keywords

    systematic downside risk; downside beta;

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