翻訳と辞書 Words near each other ・ Downs, Illinois ・ Downs, Kansas ・ Downs, Vale of Glamorgan ・ Downscaling ・ Downsend School ・ Downset. ・ Downshift ・ Downshifting ・ Downshire ・ Downshire Cliffs ・ Downshire railway station ・ Downshire School ・ Downshire Young Men F.C. ・ Downside ・ Downside Abbey ・ Downside beta ・ Downside risk ・ Downside School ・ Downside Up ・ Downside, New South Wales ・ Downside, Surrey ・ Downsiders ・ Downsize (automobile) ・ Downsize DC Foundation ・ Downsize Me! ・ Downsize This! ・ Downsizer ・ Downslope Distilling ・ Downspout ・ Downstage Theatre Dictionary Lists mini英和辞書 mini和英辞書 Webster 1913 Latin-English FOLDOC Wikipedia English ウィキペディア

翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Downside beta ： ウィキペディア英語版 Downside beta In investing, downside beta is the element of beta that investors associate with risk in the sense of the uncertain potential for loss. It is defined to be the scaled amount by which an asset tends to move compared to a benchmark, calculated only on days when the benchmark’s return is negative. ==Formula== Downside beta measures downside risk. The Capital asset pricing model (CAPM) can be modified to use semi-variance instead of standard deviation to measure risk. Where $r\_i$ and $r\_m$ are the excess returns to security $i$ and market $m$, and $u\_m$ is the average market excess return, and Cov and Var are the covariance and variance operators, the CAPM can be modified to incorporate downside (or upside) beta as follows. :$\backslash beta^-=\backslash frac$ Therefore, $\backslash beta^-$ and $\backslash beta^+$ can be estimated with a regression of excess return of security $i$ on excess return of the market, conditional on excess market return being below the mean for downside beta (or above the mean for upside beta).〔 Downside beta is calculated from data points of the asset or portfolio return using only those days when the benchmark return is negative. Downside beta and upside beta are also differentiated in the dual-beta model. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Downside beta」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.