OTHER RESEARCH

This page contains references to articles on downside risk written by other authors. They are grouped in three categories with a brief description of the contents. More will be added as time permits.

1. For The Investing Public.

1. Wheelock, Susan. "Risky Business." Plan Sponsor Magazine, Sept. 1995

A wonderful explanation of downside risk in everyday language. Susan worked very hard to make this concept understandable to anyone. I would recommend consultants use it as a handout to clients.

2. Veres, Robert N. "When The Glass is Half Empty." Dow Jones Investment Advisor, August 1996.

Written by a consultant for his clients. Well done.

2. For Consultants and Financial Advisors.

1. Balzer, Les. "Measuring Investment Risk: A Review." Journal of Investing, Fall 1994.

The best overview of competing risk measures I have seen. Les explains complex mathematical concepts in a language that professionals can readily understand. I have found his charts and graphs to be extremely useful when speaking at conferences or lecturing to finance students. This same issue of the JOI has four other articles about downside risk, including a heated exchange of views, both pro and con.

2. Harlow, H.Van. "Asset Allocation in a Downside Risk Framework" Financial Analysts Journal, Sept. 1991.

A somewhat more rigorous development of downside risk than Les Balzer's. Van Harlow shows how stochastic dominance rules are related to various downside risk measures. He then shows how the efficient frontier changes as one goes from first degree stochastic dominance to second degree; and how risk changes with the target rate of return (what I call the MAR). He then shows how downside risk could be used in the asset allocation decision to "lower risk while maintaining or improving upon the level of expected return."

3. For Academics.

1. Fishburn, Peter C. "Mean-Risk Analysis with Risk Associated with Below-Target Returns." The American Economic Review, March 1977

The inspiration for my initial research and a constant reference for for my continuing efforts. All I have done is apply what I found here.

2. Bawa, Vijay S. "Stochastic Dominance: A Research Bibliography." Journal of Management Science, June 1982

A must for all graduate students who are considering a dissertation in this area of finance. Over 400 articles are listed which document the controversy between stochastic dominance rules and mean-variance rules.