Mean-Variance test based on theoretical framework of downside risk using VAR

Variance and downside risk are different variety of risk factors in portfolio management. The purpose of this research is testing mean-variance based on theoretical framework of downside risk using VAR. Period used for this test is from
1384 to 1393 for Tehran Stock Exchange. VAR is the statistical methods used in this study. The results of this study suggest downside risk works better than the framework of mean - variance. In addition, the difference is even more visible when return on assets is more skewed. The study's outcome suggest the downside risk is a better measurement than mean -variance for investment decisions