Preparing for the Worst Incorporating Downside Risk in Stock Market Investments
, by Vinod, Hrishikesh (Rick) D.; Reagle, DerrickNote: Supplemental materials are not guaranteed with Rental or Used book purchases.
- ISBN: 9780471234425 | 0471234427
- Cover: Hardcover
- Copyright: 10/22/2004
Stock market investors have very different reactions to downside versus upside risk. This book begins by explaining the current treatment of stock market risk and methods of lowering that risk. The authors then show that many types of asymmetry of stock returns or investor reactions cause the existing theory to fail. They present the theory of downside risk and utility theory to account for the asymmetry, showing how the previous model can be adjusted for downside risk.
HRISHIKESH D. VINOD, PhD, is Director of the Institute for Ethics and Economic Policy and Professor of Economics at Fordham University in New York. He is also a Fellow of the International Institute of Public Ethics and of the Journal of Econometrics.<BR> DERRICK P. REAGLE, PhD, is Associate Chair for Graduate Studies in the Department of Economics at Fordham University.
List of Figures | xiii | ||||
List of Tables | xvii | ||||
Preface | xix | ||||
1. Quantitative Measures of the Stock Market | 1 | (28) | |||
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1 | (5) | |||
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6 | (3) | |||
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9 | (5) | |||
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14 | (8) | |||
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2. A Short Review of the Theory of Risk Measurement | 29 | (26) | |||
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29 | (10) | |||
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32 | (4) | |||
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52 | (3) | |||
3. Hedging to Avoid Market Risk | 55 | (20) | |||
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55 | (8) | |||
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57 | (3) | |||
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60 | (1) | |||
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63 | (5) | |||
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4. Monkey Wrench in the Works: When the Theory Fails | 75 | (26) | |||
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75 | (5) | |||
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91 | (4) | |||
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96 | (5) | |||
5. Downside Risk | 101 | (18) | |||
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101 | (9) | |||
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103 | (1) | |||
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104 | (3) | |||
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107 | (2) | |||
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109 | (1) | |||
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110 | (5) | |||
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113 | (2) | |||
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6. Portfolio Valuation and Utility Theory | 119 | (36) | |||
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119 | (10) | |||
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120 | (5) | |||
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129 | (6) | |||
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142 | (5) | |||
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148 | (7) | |||
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149 | (1) | |||
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150 | (2) | |||
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152 | (3) | |||
7. Incorporating Downside Risk | 155 | (26) | |||
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155 | (5) | |||
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156 | (1) | |||
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156 | (2) | |||
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158 | (2) | |||
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175 | (3) | |||
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8. Mathematical Techniques | 181 | (26) | |||
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181 | (13) | |||
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181 | (2) | |||
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9. Computational Issues | 207 | (40) | |||
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207 | (6) | |||
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230 | (4) | |||
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234 | (6) | |||
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240 | (7) | |||
10. What Does It All Mean? | 247 | (6) | |||
Glossary of Greek Symbols | 253 | (4) | |||
Glossary of Notations | 257 | (4) | |||
Glossary of Abbreviations | 261 | (4) | |||
References | 265 | (12) | |||
Name Index | 277 | (4) | |||
Index | 281 |
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