The Mismeasurement of Risk
Year: 2002
Type: article
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—that reveal that exposure to loss is substantially greater than investors normally assume.
Source: Financial Analysts Journal
Authors: Mark Kritzman, Don Rich
Institution: Northeastern University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2009548812