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Primary Article

A Brief History of Downside Risk Measures

David N. Nawrocki
The Journal of Investing Fall 1999, 8 (3) 9-25; DOI: https://doi.org/10.3905/joi.1999.319365
David N. Nawrocki
Professor of finance at Villanova University. He holds M.B.A. and Ph.D. degrees from Pennsylvania State University. He is the author of a portfolio optimization package and the director of research for The QInsight Group, an investment management firm.
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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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The Journal of Investing
Vol. 8, Issue 3
Fall 1999
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A Brief History of Downside Risk Measures
David N. Nawrocki
The Journal of Investing Aug 1999, 8 (3) 9-25; DOI: 10.3905/joi.1999.319365

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A Brief History of Downside Risk Measures
David N. Nawrocki
The Journal of Investing Aug 1999, 8 (3) 9-25; DOI: 10.3905/joi.1999.319365
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