Volatility: A dead ringer for downside risk
Volatility is as widely used as is widely criticized as a risk metric. This short article argues that despite its many shortcomings volatility is pervasive for two mutually-reinforcing reasons: First, it is very widely known; and second, it is a very good proxy for the downside risk that investors r...
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2026 |
| País: | España |
| Institución: | Universidad de Navarra |
| Repositorio: | Dadun. Depósito Académico Digital de la Universidad de Navarra |
| Idioma: | inglés |
| OAI Identifier: | oai:dadun.unav.edu:10171/122359 |
| Acceso en línea: | https://hdl.handle.net/10171/122359 |
| Access Level: | acceso abierto |
| Palabra clave: | Volatility Downside risk Semideviation Drawdown |
| Sumario: | Volatility is as widely used as is widely criticized as a risk metric. This short article argues that despite its many shortcomings volatility is pervasive for two mutually-reinforcing reasons: First, it is very widely known; and second, it is a very good proxy for the downside risk that investors really dislike. The evidence discussed here shows that a ranking of assets by volatility is very highly correlated with rankings made by different metrics that directly assess downside risk. |
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