semi variance

Just on a related tangent, here is an interesting paper, "On the Maximum
Drawdown of a Brownian Motion",
http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf .

There was also an interesting article by the same authors in Risk,
w.r.t. intertemporal scaling and use in optimization:

 http://alumnus.caltech.edu/~amir/mdd-risk.pdf

Jeffrey Lins 

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Krishna
Kumar
Sent: Thursday, December 28, 2006 3:10 AM
To: BBands
Cc: R-sig-finance
Subject: Re: [R-SIG-Finance] semi variance

Has anyone here had any experience with semi variance and its kin 
outside of VaR?

    jab
  

Well this gets used in optimization. There is also another performance
measure the ratio of upside variance to downside variance which is
popular as well.

Best,
Kris

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