On the Systematic Downside Risk Measure: A Note

Yin-Ching Jan


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.

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DOI: https://doi.org/10.5430/ijfr.v7n5p51

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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