Talk:Downside beta
Add topicLatest comment: 8 months ago by ~2025-32018-42 in topic Roy did not define or use downside beta.
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Roy did not define or use downside beta.
[edit]A.D. Roy (1952) introduced the Safety-First Criterion, which focuses on minimizing the probability of returns falling below a minimum acceptable level (a “disaster level”). His approach was an early precursor to downside risk thinking, but he did not define or use downside beta. Downside beta was developed later within the context of post-mean–variance models, particularly by Hogan and Warren (1974) and later by Bawa and Lindenberg (1977). They extended CAPM to account for investor preferences toward downside risk rather than total variance — leading to the Downside-CAPM (D-CAPM). ~2025-32018-42 (talk) 15:32, 8 November 2025 (UTC)