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A General Class of Three-Parameter Risk Measures

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  • Stone, Bernell K

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  • Stone, Bernell K, 1973. "A General Class of Three-Parameter Risk Measures," Journal of Finance, American Finance Association, vol. 28(3), pages 675-685, June.
    • Handle: RePEc:bla:jfinan:v:28:y:1973:i:3:p:675-85
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    Citations

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    Cited by:

    1. Winter, Peter, 2007. "Managerial Risk Accounting and Control – A German perspective," MPRA Paper 8185, University Library of Munich, Germany.
    2. Colson, Gérard, 1993. "Prenons-nous assez de risque dans les théories du risque?," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 111-141, mars.
    3. Annika Homburg & Christian H. Weiß & Gabriel Frahm & Layth C. Alwan & Rainer Göb, 2021. "Analysis and Forecasting of Risk in Count Processes," JRFM, MDPI, vol. 14(4), pages 1-25, April.
    4. Jordi Andreu & Salvador Torra, 2009. "Optimal market indices using value-at-risk: a first empirical approach for three stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1163-1170.
    5. repec:ebl:ecbull:v:4:y:2005:i:16:p:1-9 is not listed on IDEAS
    6. Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
    7. Hurlimann, Werner, 2006. "A note on generalized distortion risk measures," Finance Research Letters, Elsevier, vol. 3(4), pages 267-272, December.
    8. Udo Ebert, 2005. "Measures of downside risk," Economics Bulletin, AccessEcon, vol. 4(16), pages 1-9.
    9. repec:stn:sotoec:1311 is not listed on IDEAS
    10. Babak Eftekhari & Christian Pedersen & Stephen Satchell, 2000. "On the volatility of measures of financial risk: an investigation using returns from European markets," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 18-38.
    11. Philippe Delquié, 2012. "Risk Measures from Risk-Reducing Experiments," Decision Analysis, INFORMS, vol. 9(2), pages 96-102, June.
    12. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    13. Yaniv Konchitchki & Yan Luo & Mary L. Z. Ma & Feng Wu, 2016. "Accounting-based downside risk, cost of capital, and the macroeconomy," Review of Accounting Studies, Springer, vol. 21(1), pages 1-36, March.
    14. Cillo, Alessandra & Delquié, Philippe, 2014. "Mean-risk analysis with enhanced behavioral content," European Journal of Operational Research, Elsevier, vol. 239(3), pages 764-775.
    15. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
    16. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
    17. Stephen Chan & Saralees Nadarajah, 2019. "Risk: An R Package for Financial Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1337-1351, April.
    18. Rihab Bedoui & Houda BenMabrouk, 2017. "CAPM with various utility functions: Theoretical developments and application to international data," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1343230-134, January.
    19. Adam Ostaszewski & Miles Gietzmann, 2008. "Value creation with Dye’s disclosure option: optimal risk-shielding with an upper tailed disclosure strategy," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 1-27, July.
    20. Gonzalo, Jesús & Olmo, José, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de Economía.
    21. Nakamura, Yutaka, 2002. "Lexicographic quasilinear utility," Journal of Mathematical Economics, Elsevier, vol. 37(3), pages 157-178, May.
    22. Emili Grifell-Tatjé & P. Marquès-Gou, 2002. "Measuring Sustained Superior Performance at the Firm Level," Working Papers 0208, Departament Empresa, Universitat Autònoma de Barcelona, revised Jul 2002.
    23. Najafi, Amir Abbas & Mushakhian, Siamak, 2015. "Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 445-458.
    24. Knieps, Günter & Weiß, Hans-Jörg, 2008. "Regulatory agencies and regulatory risk," Discussion Papers 118 [rev.], University of Freiburg, Institute for Transport Economics and Regional Policy.

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