Talk:Upside risk

	This article is within the scope of WikiProject Finance & Investment, a collaborative effort to improve the coverage of articles related to Finance and Investment on Wikipedia. If you would like to participate, please visit the project page, where you can join the discussion and see a list of open tasks.Finance & InvestmentWikipedia:WikiProject Finance & InvestmentTemplate:WikiProject Finance & InvestmentFinance & Investment articles
Low	This article has been rated as Low-importance on the project's importance scale.

Dr. Allen's comment on this article

Dr. Allen has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:

I thought this piece was a bit limited. Some mention should be made of return distributions and whether they are right or left skewed. There are a number of asset pricing models which include multiple factors apart from beta. There are portfolio optimisation methods that include metrics based on VaR, CVaR,
Skew and Kurtosis. This issue is also related to the idea of market timing, ie increasing the beta of a portfolio when the market is expected to move up. There is a long established literature on market timing -see for example Grinblatt, M. and S. Titman (1989), Portfolio performance evaluation: old issues and new insights, Review of Financial Studies, Vol. 2, No. 3, pp. 393-421. Henriksson, R. and R. Merton (1981), On market timing and investment performance II: statistical procedures for evaluating forecasting skills, Journal of Business, Vol. 54, No. 4, pp. 513-33. Jagannathan, R. and R. Korajczyk (1986), Assessing the market timing performance of managed portfolios, Journal of Business, Vol. 59, No. 2, pp. 217-235. Mamaysky, H., M. Spiegel and H. Zhang (2008), Estimating the dynamics of mutual fund alphas and betas, Review of Financial Studies, January, Vol. 21, No. 1, pp. 233-264.
Campbell R. Harvey, John C. Liechty, Merrill W. Liechty & Peter Müller, (2010) Portfolio Selection with higher moments, Quantitative Finance, 10, 5. pp:469-485.

We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.

Dr. Allen has published scholarly research which seems to be relevant to this Wikipedia article:

Reference : David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2014-27, Universidad Complutense de Madrid, Facultad de Ciencias Economicas y Empresariales, Instituto Complutense de Analisis Economico.

ExpertIdeasBot (talk) 06:19, 9 July 2015 (UTC)[reply]

Upside risk is beneficial?

The end of the lead currently says that upside risk

is actually beneficial to investors, because it represents the element of beta that investors profit from. Therefore, higher upside risk is better than lower....

That seems wrong to me. Consider two distributions with the same mean and same downside risk. The first distribution has all of the gains concentrated at a single point, with no upside risk, while the second distribution has a range of possible values for gains. Then a risk-averse investor would prefer the former distribution, which gives greater predictability of the gains. If the second distribution has a positive upside beta, then when other assets have gains above (below) the expectation conditional on gains, this one will tend to also, thereby exacerbating the uncertainty about the gains. Loraof (talk) 17:32, 17 February 2017 (UTC)[reply]

And the fact that investors don't like upside risk is shown by the upside beta being positive. The positive upside beta in the regression means that more upside risk leads to higher expected returns on that asset; the reason is that investors have to be compensated with higher expected return for the upside risk that they do not like. Loraof (talk) 19:13, 28 February 2017 (UTC)[reply]