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Risk measures and return performance: A critical approach

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  • Mazzoleni, Piera
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-48B5NHM-8/2/59694dfaba7d8dbd34add43c3a14b11b
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 155 (2004)
    Issue (Month): 2 (June)
    Pages: 268-275

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    Handle: RePEc:eee:ejores:v:155:y:2004:i:2:p:268-275

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    Web page: http://www.elsevier.com/locate/eor

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    1. Siu, Tak Kuen & Yang, Hailiang, 1999. "Subjective risk measures: Bayesian predictive scenarios analysis," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 157-169, November.
    2. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, Elsevier, vol. 2(1), pages 95-121, March.
    3. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
    4. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
    5. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
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    Cited by:
    1. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series, Victoria University of Wellington, School of Economics and Finance 1532, Victoria University of Wellington, School of Economics and Finance.

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