- Tytuł:
- Statistically (optimal) estimators of semivariance: A correction of Josephy-Aczel’s proof
- Autorzy:
-
Fleischer, Karlheinz
Nietert, Bernhard - Powiązania:
- https://bibliotekanauki.pl/articles/433944.pdf
- Data publikacji:
- 2019
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
risk analysis
semivariance
statistical estimation - Opis:
- Semivariance is an intuitive risk measure because it concentrates on the shortfall below a target and not on total variation. To successfully use semivariance in practice, however, a statistical estimator of semivariance is needed; Josephy and Aczel provide such an estimator. Unfortunately, they have not correctly proven asymptotic unbiasedness and mean squared error consistency of their estimator since their proof contains a mistake. This paper corrects the computational mistake in Josephy-Aczel’s original proof and, that way, allows researchers and practitioners in the field of downside portfolio selection, hedging, downside asset pricing, risk measurement in a regulatory context, and performance measurement to work with a meaningfully specified downside measure.
- Źródło:
-
Śląski Przegląd Statystyczny; 2019, 17 (23); 9-30
1644-6739 - Pojawia się w:
- Śląski Przegląd Statystyczny
- Dostawca treści:
- Biblioteka Nauki
Artykuł