Downside risk and optimal asset allocation

International bank portfolio performance 1973-2001

Guy Ford*, Rae Weston

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference proceeding contribution

Abstract

In this paper we construct and compare optimal global portfolios of bank stocks over four overlapping periods between 1973 and 2001 using conventional modern portfolio theory assumptions and loss-averse portfolio assumptions which are constructed to minimise the risk of a return less than zero. We investigate changes to the optimal portfolios when risk criteria is varied.

Original languageEnglish
Title of host publicationProceedings - Annual Meeting of the Decision Sciences Institute
EditorsT. Smunt
Pages765-769
Number of pages5
Publication statusPublished - 2002
EventDecision Sciences Institute 2002 Proceedings - San Diego, CA, United States
Duration: 23 Nov 200226 Nov 2002

Other

OtherDecision Sciences Institute 2002 Proceedings
CountryUnited States
CitySan Diego, CA
Period23/11/0226/11/02

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