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1999•The Journal of InvestingRequires access

A Brief History of Downside Risk Measures

David N. Nawrocki

Open publisher page 313 citations

Abstract

Downside risk measures in portfolio analysis purport to be a major improvement over traditional portfolio theory. This article traces the development of the concept from the initial portfolio theory articles in 1952 to articles in the Journal of Investing in 1994. An understanding of the issues facing the researchers provides better knowledge of the concept.

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What this paper is about

Downside risk measures in portfolio analysis purport to be a major improvement over traditional portfolio theory. This article traces the development of the concept from the initial portfolio theory articles in 1952 to articles in the Journal of Investing in 1994. An understanding of the issues facing the researchers provides better knowledge of the concept.

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OpenAlex reports 313 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

Downside risk measures in portfolio analysis purport to be a major improvement over traditional portfolio theory. This article traces the development of the concept from the initial portfolio theory articles in 1952 to articles in the Journal of Investing in 1994. An understanding of the issues facing the researchers provides better knowledge of the concept.

Key concepts: Downside risk, Portfolio, Modern portfolio theory, Economics, Application portfolio management, Financial economics, Project portfolio management, Actuarial science

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