[R-SIG-Finance] semi variance

Jeffrey Todd Lins jtl at saxobank.com
Thu Dec 28 14:46:38 CET 2006

Just on a related tangent, here is an interesting paper, "On the Maximum
Drawdown of a Brownian Motion",
http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf .

There was also an interesting article by the same authors in Risk,
w.r.t. intertemporal scaling and use in optimization:


Jeffrey Lins 

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Krishna
Sent: Thursday, December 28, 2006 3:10 AM
To: BBands
Cc: R-sig-finance
Subject: Re: [R-SIG-Finance] semi variance

BBands wrote:
> Has anyone here had any experience with semi variance and its kin 
> outside of VaR?
>     jab
Well this gets used in optimization. There is also another performance
measure the ratio of upside variance to downside variance which is
popular as well.


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