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- W2500282714 abstract "Traditional, two-tailed measurements of risk-adjusted performance, particularly the Sharpe ratio, give dangerous guidance during bear markets because they implicitly assume that returns are normally distributed and because they effectively treat upside and downside volatility as equal constituents of risk.1 The danger in assuming symmetry in the distribution of returns is neither new nor mysterious. Many of the architects of modern portfolio theory nevertheless adopted this statistical shortcut in grudging acceptance of that era’s computational limitations.2 Harry Markowitz’s theoretical call “for calculating the covariances of every security” initially posed a “monumental” barrier to practical implementation: under the constraints on computing power during the 1960s, “[c]alculating a single portfolio could eat up tens of thousands of dollars in computer time.”3" @default.
- W2500282714 created "2016-08-23" @default.
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- W2500282714 date "2016-01-01" @default.
- W2500282714 modified "2023-09-24" @default.
- W2500282714 title "The Full Financial Toolkit of Partial Second Moments" @default.
- W2500282714 doi "https://doi.org/10.1057/978-1-137-54464-3_5" @default.
- W2500282714 hasPublicationYear "2016" @default.
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