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have any practitioners here worked with the downside deviation metric? I've looked a little into its concepts but wish to know its utility in practice (if any). Does it bring any value to risk measurement or allocation strategies?

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I'm sure many have worked with it. It's utility depends on what you need to do. Yes, it can help with risk management. – Joshua Ulrich Jan 27 '14 at 16:15

To my knowledge, it's coherent risk measure, featured in Markowitz, 1959. And yes, it is used by practitioners, but as it seems to me - mostly for the purpose of performance evaluation.

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I know that investment consultants use it as a tool to evaluate pension manager performance. But curious as to how portfolio managers or traders themselves might use it. Which Markowitz paper are you referring to? – File_Not_Found Jan 28 '14 at 15:37
they might use it instead of usual $\sigma$ in $R-\sigma$ space. I'm referring to Markowitz, H.M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons. (reprinted by Yale University Press, 1970, ISBN 978-0-300-01372-6; 2nd ed. Basil Blackwell, 1991, ISBN 978-1-55786-108-5) – Alexander Didenko Jan 28 '14 at 16:13
Thanks! I'll look into that – File_Not_Found Jan 28 '14 at 17:23

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