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Title:

Statistically (optimal) estimators of semivariance: A correction of Josephy-Aczel’s proof

Group publication title:

Śląski Przegląd Statystyczny = Silesian Statistical Review

Title in english:

Optymalne estymatory semiwariancji: korekta dowodu Josephy’ego-Aczela

Creator:

Fleicher, Karlheinz ; Nietert, Bernhard

Subject and Keywords:

risk analysis ; semivariance ; statistical estimation ; analiza ryzyka ; semiwariancja ; estymacja statystyczna

Description:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2019, Nr 17 (23), s. 9-29

Abstrakt:

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

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2019

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/sps.2019.17.01

Language:

eng

Relation:

Śląski Przegląd Statystyczny = Silesian Statistical Review, 2019, Nr 17 (23)

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu