Abstract

http://ssrn.com/abstract=316584
 
 

Citations



 


 



The Mismeasurement of Risk


Mark Kritzman


Windham Capital Management

Don R. Rich


affiliation not provided to SSRN


Financial Analysts Journal, Vol. 58, No. 3, May/June 2002

Abstract:     
Investors typically measure risk as the probability of a given loss or the amount that can be lost with a given probability at the end of their investment horizons. This view of risk considers only the final result, but investors perceive (or should perceive) risk differently. They are affected by exposure to loss throughout the investment period, not just at its conclusion. We introduce two new ways of measuring risk - within-horizon probability of loss and continuous value at risk - which reveal that exposure to loss is substantially greater than investors normally assume.

Accepted Paper Series





Not Available For Download

Date posted: October 19, 2002  

Suggested Citation

Kritzman, Mark and Rich, Don R., The Mismeasurement of Risk. Financial Analysts Journal, Vol. 58, No. 3, May/June 2002. Available at SSRN: http://ssrn.com/abstract=316584

Contact Information

Mark Kritzman (Contact Author)
Windham Capital Management ( email )
5 Revere Street
Cambridge, MA 02138
United States
617-576-7360 (Phone)
617-576-7359 (Fax)
Don R. Rich
affiliation not provided to SSRN
Feedback to SSRN


Paper statistics
Abstract Views: 2,270

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.422 seconds