An asset pricing model for mean-variance-downside-risk averse investors
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Bibliographic InfoPaper provided by Department of Economics, City University London in its series Working Papers with number 07/01.
Date of creation: 2007
Date of revision:
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Phone: +44 (0)20 7040 8500
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-03-10 (All new papers)
- NEP-CFN-2007-03-10 (Corporate Finance)
- NEP-FMK-2007-03-10 (Financial Markets)
- NEP-RMG-2007-03-10 (Risk Management)
- NEP-UPT-2007-03-10 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew Ang & Joseph Chen & Yuhang Xing, 2005.
Board of Governors of the Federal Reserve System (U.S.).
- Post, Thierry & van Vliet, Pim, 2006.
"Downside risk and asset pricing,"
Journal of Banking & Finance,
Elsevier, vol. 30(3), pages 823-849, March.
- Post, G.T. & van Vliet, P., 2004. "Downside Risk and Asset Pricing," ERIM Report Series Research in Management ERS-2004-018-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
- Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
- Stephen A. Ross, . "Mutual Fund Separation in Financial Theory - The Separating Distributions," Rodney L. White Center for Financial Research Working Papers 1-76, Wharton School Rodney L. White Center for Financial Research.
- Post, G.T. & van Vliet, P., 2004. "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management ERS-2004-048-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
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