Markowitz himself suggested that utilizing measures of risk that focus more on downside would likely improve the value of a given analysis, and Blazer [1995] presents an exhaustive treatment of alternative measures (alternative to variance or standard deviation) that help highlight the importance of downside risk. Additionally, rather than assuming normality, which implies with 99% certainty that our worst case will be no more than 3 standard deviations from the mean, advisors could utilize the wisdom of Tchebychev, who’s theorem demonstrates that the 99% certainty level is not likely to be reached until after 7 standard deviations from the mean (A considerable difference).
– The Uncertain Science of Asset Allocation, Benjamin L. Cotton
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=182108
What a difference “Eight Sigma” makes …
–pag
*) Die Vorläufer von Six Sigma wurden in den 1970er Jahren im japanischen Schiffbau, später in der japanischen Elektronik- und Konsumgüterindustrie eingeführt. Six Sigma entstand ursprünglich in den USA im Jahre 1987, und Motorola wendete es da das erste Mal an.
http://de.wikipedia.org/wiki/Six_Sigma#Kritik_an_Six_Sigma
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