IDEAS home Printed from https://ideas.repec.org/r/eee/ejores/v114y1999i2p304-319.html
   My bibliography  Save this item

Variance vs downside risk: Is there really that much difference?

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
  2. Kim, Kyoung-Kuk & Park, Kun Soo, 2014. "Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm," European Journal of Operational Research, Elsevier, vol. 237(2), pages 634-648.
  3. Dipankar Mondal & N. Selvaraju, 2022. "Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(1), pages 225-248, March.
  4. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
  5. Mansourfar, Gholamreza & Mohamad, Shamsher & Hassan, Taufiq, 2010. "The behavior of MENA oil and non-oil producing countries in international portfolio optimization," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 415-423, November.
  6. Wojtek Michalowski & Włodzimierz Ogryczak, 2001. "Extending the MAD portfolio optimization model to incorporate downside risk aversion," Naval Research Logistics (NRL), John Wiley & Sons, vol. 48(3), pages 185-200, April.
  7. repec:ebl:ecbull:v:4:y:2005:i:16:p:1-9 is not listed on IDEAS
  8. Longsheng Cheng & Mahboubeh Shadabfar & Arash Sioofy Khoojine, 2023. "A State-of-the-Art Review of Probabilistic Portfolio Management for Future Stock Markets," Mathematics, MDPI, vol. 11(5), pages 1-34, February.
  9. Barnes, Belinda & Giannini, Fiona & Arthur, Anthony & Walker, James, 2019. "Optimal allocation of limited resources to biosecurity surveillance using a portfolio theory methodology," Ecological Economics, Elsevier, vol. 161(C), pages 153-162.
  10. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
  11. Elie Matta & Jean McGuire, 2008. "Too Risky to Hold? The Effect of Downside Risk, Accumulated Equity Wealth, and Firm Performance on CEO Equity Reduction," Organization Science, INFORMS, vol. 19(4), pages 567-580, August.
  12. Gökgöz, Fazıl & Atmaca, Mete Emin, 2017. "Portfolio optimization under lower partial moments in emerging electricity markets: Evidence from Turkey," Renewable and Sustainable Energy Reviews, Elsevier, vol. 67(C), pages 437-449.
  13. Udo Ebert, 2005. "Measures of downside risk," Economics Bulletin, AccessEcon, vol. 4(16), pages 1-9.
  14. Ouatik El-Alaoui, AbdelKader & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2018. "Does low leverage minimise the impact of financial shocks? New optimisation strategies using Islamic stock screening for European portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 160-184.
  15. Rubio-Herrero, Javier & Baykal-Gürsoy, Melike, 2020. "Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand," European Journal of Operational Research, Elsevier, vol. 283(3), pages 942-953.
  16. Brogan, Anita J. & Stidham Jr., Shaler, 2008. "Non-separation in the mean-lower-partial-moment portfolio optimization problem," European Journal of Operational Research, Elsevier, vol. 184(2), pages 701-710, January.
  17. Armin Mahmoudi & Leila Hashemi & Milad Jasemi & James Pope, 2021. "A comparison on particle swarm optimization and genetic algorithm performances in deriving the efficient frontier of stocks portfolios based on a mean‐lower partial moment model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5659-5665, October.
  18. Guo, Sini & Yu, Lean & Li, Xiang & Kar, Samarjit, 2016. "Fuzzy multi-period portfolio selection with different investment horizons," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1026-1035.
  19. Qinpeng Wang & Longfei He, 2018. "Managing Risk Aversion for Low-Carbon Supply Chains with Emission Abatement Outsourcing," IJERPH, MDPI, vol. 15(2), pages 1-20, February.
  20. Luis Rios & Nikolaos Sahinidis, 2010. "Portfolio optimization for wealth-dependent risk preferences," Annals of Operations Research, Springer, vol. 177(1), pages 63-90, June.
  21. Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
  22. Liu, Weihua & Wang, Yijia, 2015. "Quality control game model in logistics service supply chain based on different combinations of risk attitude," International Journal of Production Economics, Elsevier, vol. 161(C), pages 181-191.
  23. Bertsimas, Dimitris & Lauprete, Geoffrey J. & Samarov, Alexander, 2004. "Shortfall as a risk measure: properties, optimization and applications," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1353-1381, April.
  24. 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.
  25. Degiannakis, Stavros, 2017. "The one-trading-day-ahead forecast errors of intra-day realized volatility," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1298-1314.
  26. Hsin-Hung Chen & Hsien-Tang Tsai & Dennis Lin, 2011. "Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2795-2801.
  27. repec:ipg:wpaper:2014-053 is not listed on IDEAS
  28. Pokharel, Krisha Prasad & Featherstone, Allen M. & Archer, David W., 2019. "Estimating Economic Efficiency Under Risk For Agricultural Cooperatives," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 7(2), April.
  29. Huang, Xiaoxia, 2008. "Portfolio selection with a new definition of risk," European Journal of Operational Research, Elsevier, vol. 186(1), pages 351-357, April.
  30. Ling, Aifan & Sun, Jie & Yang, Xiaoguang, 2014. "Robust tracking error portfolio selection with worst-case downside risk measures," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 178-207.
  31. Huang, Xiaoxia & Ying, Haiyao, 2013. "Risk index based models for portfolio adjusting problem with returns subject to experts' evaluations," Economic Modelling, Elsevier, vol. 30(C), pages 61-66.
  32. Cumova, Denisa & Nawrocki, David, 2014. "Portfolio optimization in an upside potential and downside risk framework," Journal of Economics and Business, Elsevier, vol. 71(C), pages 68-89.
  33. Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
  34. Wagener, Andreas, 2003. "Comparative statics under uncertainty: The case of mean-variance preferences," European Journal of Operational Research, Elsevier, vol. 151(1), pages 224-232, November.
  35. Chen, Wei & Zhang, Haoyu & Jia, Lifen, 2022. "A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  36. Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
  37. Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Regime-Aware Asset Allocation: a Statistical Jump Model Approach," Papers 2402.05272, arXiv.org.
  38. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
  39. Imran Umer Chhapra & Muhammad Kashif, 2019. "Higher Co-Moments and Downside Beta in Asset Pricing," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(1), pages 129-155.
  40. repec:dgr:rugsom:02e45 is not listed on IDEAS
  41. Capitani, Daniel Henrique Dario & Mattos, Fabio, 2012. "Risk measurement in commodities markets: How much price risk do agricultural producers really face?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124761, Agricultural and Applied Economics Association.
  42. Wu, Xu & Zhang, Linlin & Li, Jia & Yan, Ruzhen, 2021. "Fractal statistical measure and portfolio model optimization under power-law distribution," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  43. Hoe, Lam Weng & Saiful Hafizah, Jaaman & Zaidi, Isa, 2010. "An empirical comparison of different risk measures in portfolio optimization," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 1(1), pages 1-7, April.
  44. Ahmed Imran Hunjra & Suha Mahmoud Alawi & Sisira Colombage & Uroosa Sahito & Mahnoor Hanif, 2020. "Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios," Risks, MDPI, vol. 8(4), pages 1-23, November.
  45. Chen, Wei, 2015. "Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 125-139.
  46. Deng, Xue & Chen, Jiaxing & Wang, Xu & Geng, Fengting, 2022. "Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 59-78.
  47. Ayub, Usman & Shah, Syed Zulfiqar Ali & Abbas, Qaisar, 2015. "Robust analysis for downside risk in portfolio management for a volatile stock market," Economic Modelling, Elsevier, vol. 44(C), pages 86-96.
  48. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  49. Laurens Swinkels & David Blitz & Winfried Hallerbach & Pim Vliet, 2018. "Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(4), pages 633-652, October.
  50. Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1067-1082.
  51. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
  52. Mital, Pratik & Goetschalckx, Marc & Huang, Edward, 2015. "Robust material handling system design with standard deviation, variance and downside risk as risk measures," International Journal of Production Economics, Elsevier, vol. 170(PC), pages 815-824.
  53. Rubio-Herrero, Javier & Baykal-Gürsoy, Melike, 2018. "On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations," European Journal of Operational Research, Elsevier, vol. 265(3), pages 962-974.
  54. Malvika Saraf & Parthajit Kayal, 2022. "How Much Does Volatility Influence Stock Market Returns? – Empirical Evidence from India," Working Papers 2022-215, Madras School of Economics,Chennai,India.
  55. Zheng, Wei & Li, Bo & Song, Dongping & Li, Yanran, 2023. "Innovative development strategy of a risk-averse firm considering product unreliability under competition," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 172(C).
  56. Talluri, Srinivas & Narasimhan, Ram & Chung, Wenming, 2010. "Manufacturer cooperation in supplier development under risk," European Journal of Operational Research, Elsevier, vol. 207(1), pages 165-173, November.
  57. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
  58. Michael Donadelli & Lorenzo Prosperi, 2012. "The Equity Risk Premium: Empirical Evidence from Emerging Markets," Working Papers CASMEF 1201, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  59. Juzhi Zhang & Suresh P. Sethi & Tsan‐Ming Choi & T.C.E. Cheng, 2022. "Pareto optimality and contract dependence in supply chain coordination with risk‐averse agents," Production and Operations Management, Production and Operations Management Society, vol. 31(6), pages 2557-2570, June.
  60. Ahn, Soohan & Kim, Joseph H.T. & Ramaswami, Vaidyanathan, 2012. "A new class of models for heavy tailed distributions in finance and insurance risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 43-52.
  61. Capitani, Daniel H.D. & Mattos, Fabio, 2015. "Feasibility of new agricultural futures contract: a study in the Brazilian rice market," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205565, Agricultural and Applied Economics Association.
  62. Benati, Stefano, 2004. "The computation of the worst conditional expectation," European Journal of Operational Research, Elsevier, vol. 155(2), pages 414-425, June.
  63. Hildebrandt, Patrick & Knoke, Thomas, 2011. "Investment decisions under uncertainty--A methodological review on forest science studies," Forest Policy and Economics, Elsevier, vol. 13(1), pages 1-15, January.
  64. Wei Chen & Yun Wang & Mukesh Kumar Mehlawat, 2018. "A hybrid FA–SA algorithm for fuzzy portfolio selection with transaction costs," Annals of Operations Research, Springer, vol. 269(1), pages 129-147, October.
  65. Choi, Tsan-Ming & Li, Duan & Yan, Houmin, 2008. "Mean-variance analysis of a single supplier and retailer supply chain under a returns policy," European Journal of Operational Research, Elsevier, vol. 184(1), pages 356-376, January.
  66. Jing-Rung Yu & Wan-Jiun Paul Chiou & Jian-Hong Yang, 2017. "Diversification benefits of risk portfolio models: a case of Taiwan’s stock market," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 467-502, February.
  67. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  68. Liu, Yong-Jun & Zhang, Wei-Guo, 2013. "Fuzzy portfolio optimization model under real constraints," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 704-711.
  69. Limei Yan, 2009. "Optimal Portfolio Selection Models with Uncertain Returns," Modern Applied Science, Canadian Center of Science and Education, vol. 3(8), pages 1-76, August.
  70. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
  71. Karma, Otto & Sander, Priit, 2006. "The impact of financial leverage on risk of equity measured by loss-oriented risk measures: An option pricing approach," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1340-1356, December.
  72. Pavabutr, Pantisa, 2003. "An evaluation of MLPM allocation rules on emerging markets portfolios," Emerging Markets Review, Elsevier, vol. 4(1), pages 73-90, March.
  73. Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  74. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.
  75. Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
  76. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
  77. Beach, Steven L., 2011. "Semivariance decomposition of country-level returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 607-623, October.
  78. Dimitris Bertsimas & Vishal Gupta & Ioannis Ch. Paschalidis, 2012. "Inverse Optimization: A New Perspective on the Black-Litterman Model," Operations Research, INFORMS, vol. 60(6), pages 1389-1403, December.
  79. Salomons, Roelof & Grootveld, Henk, 2003. "The equity risk premium: emerging vs. developed markets," Emerging Markets Review, Elsevier, vol. 4(2), pages 121-144, June.
  80. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2008. "Relaxing standard hedging assumptions in the presence of downside risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 78-93, February.
  81. Wei Chen & Yuxi Gai & Pankaj Gupta, 2018. "Efficiency evaluation of fuzzy portfolio in different risk measures via DEA," Annals of Operations Research, Springer, vol. 269(1), pages 103-127, October.
  82. Akhter Mohiuddin Rather, 2012. "Portfolio selection using mean-risk model and mean-risk diversification model," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 14(3), pages 324-342.
  83. Capitani, Daniel Henrique Dario & Mattos, Fabio, 2017. "Measurement of Commodity Price Risk: an overview of Brazilian agricultural markets," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 55(3), January.
  84. Naqvi, Syed Muhammad Waqar Azeem & Rizvi, Syed Kumail Abbas & Orangzab & Ali, Muhammad, 2016. "Value at Risk at Asian Emerging Stock Markets," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 28(3), pages 311-319.
  85. Berman, Oded & Sanajian, Nima & Wang, Jiamin, 2017. "Location choice and risk attitude of a decision maker," Omega, Elsevier, vol. 66(PA), pages 170-181.
  86. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  87. Shushang Zhu & Duan Li & Shouyang Wang, 2009. "Robust portfolio selection under downside risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 869-885.
  88. Kashanian, Motahareh & Pishvaee, Mir Saman & Sahebi, Hadi, 2020. "Sustainable biomass portfolio sourcing plan using multi-stage stochastic programming," Energy, Elsevier, vol. 204(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.