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Citations for "Capital market equilibrium in a mean-lower partial moment framework"

by Bawa, Vijay S. & Lindenberg, Eric B.

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  1. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1191-1239.
    • Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  2. Post, G.T. & Levy, H., 2002. "Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences," ERIM Report Series Research in Management ERS-2002-50-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.
  3. Korn, Olaf & Schröder, Michael & Szczesny, Andrea & Winschel, Viktor, 1996. "Risikomessung mit Shortfall-Maßen: Das Programm MAMBA - Metzler Asset Management Benchmark Analyser," ZEW Dokumentationen 96-09, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  4. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
  5. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
  6. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  7. Jesús Gonzalo & José Olmo, 2009. "Downside Risk Efficiency Under Market Distress," Economics Working Papers we094423, Universidad Carlos III, Departamento de Economía.
  8. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  9. Javier Estrada, 2004. "The cost of equity of internet stocks: a downside risk approach," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 239-254.
  10. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
  11. Botshekan, Mahmoud & Kräussl, Roman & Lucas, André, 2010. "Cash flow and discount rate risk in up and down markets: What is actually priced?," CFS Working Paper Series 2010/20, Center for Financial Studies (CFS).
  12. André de Palma & Nathalie Picard & Laetitia Andrieu, 2007. "Risk in Transport investments," THEMA Working Papers 2007-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  13. Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Miralles Quirós, José Luis., 2007. "Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 199-214, Abril.
  14. 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.
  15. Estrada, Javier, 2003. "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers D/491, IESE Business School.
  16. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
  17. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2013. "Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?," NBER Working Papers 19460, National Bureau of Economic Research, Inc.
  18. Soosung Hwang & Christian Pedersen, 2002. "On Empirical Risk Measurement with Asymmetric Returns Data," Working Papers wp02-03, Warwick Business School, Finance Group.
  19. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
  20. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management ERS-2005-068-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.
  21. Ping Cheng, 2004. "Asymmetric Risk Measures and Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 30(1), pages 89-102, October.
  22. Alles, Lakshman & Murray, Louis, 2013. "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2501-2509.
  23. Demirer, Riza & Lien, Donald & Shaffer, David R., 2005. "Comparisons of short and long hedge performance: the case of Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 15(1), pages 51-66, February.
  24. 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.
  25. Galagedera, Don U.A. & Brooks, Robert D., 2007. "Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 214-230, July.
  26. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
  27. Don U.A. Galagedera & Robert D. Brooks, 2005. "Is systematic downside beta risk really priced? Evidence in emerging market data," Monash Econometrics and Business Statistics Working Papers 11/05, Monash University, Department of Econometrics and Business Statistics.
  28. Cici, Gjergji & Palacios, Luis-Felipe, 2013. "On the use of options by mutual funds: Do they know what they are doing?," CFR Working Papers 11-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  29. Liang Zou, 2005. "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 185-207, May.
  30. Schröder, Michael, 1996. "Value at risk: proposals on a generalization," ZEW Discussion Papers 96-12, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  31. Post, Thierry & van Vliet, Pim & Levy, Haim, 2008. "Risk aversion and skewness preference," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1178-1187, July.
  32. Audrey Hu & Liang Zou, 2008. "Auctions under Payoff Uncertainty: The Case with Heterogeneous Bidder-Aversion to Downside Risk," Tinbergen Institute Discussion Papers 08-044/1, Tinbergen Institute, revised 22 Apr 2008.
  33. Takashi Hasuike & Hiroaki Ishii, 2009. "Probability maximization models for portfolio selection under ambiguity," Central European Journal of Operations Research, Springer, vol. 17(2), pages 159-180, June.
  34. repec:hal:journl:halshs-00196443 is not listed on IDEAS
  35. Gonzalo, J. & Olmo, J., 2008. "Testing Downside Risk Efficiency Under Market Distress," Working Papers 08/11, Department of Economics, City University London.
  36. Kräussl, Roman & Elsland, Niels van, 2008. "Constructing the true art market index: A novel 2-step hedonic approach and its application to the German art market," CFS Working Paper Series 2008/11, Center for Financial Studies (CFS).
  37. Hwang, Soosung & Pedersen, Christian S., 2004. "Asymmetric risk measures when modelling emerging markets equities: evidence for regional and timing effects," Emerging Markets Review, Elsevier, vol. 5(1), pages 109-128, March.
  38. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
  39. Oliver Linton & Yoon-Jae Whang, 2012. "Testing for the stochastic dominance efficiency of a given portfolio," CeMMAP working papers CWP27/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  40. Jose L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Business Economics Working Papers wb062808, Universidad Carlos III, Departamento de Economía de la Empresa.
  41. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Society for Computational Economics, vol. 29(3), pages 333-354, May.
  42. Nicholas V. Vakkur & Zulma J. Herrera, 2011. "Sarbanes Oxley's impact upon investor-relevant risk types," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 19(3), pages 254-270, July.
  43. Günter Franke & Martin Weber, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Paper 01-08, Center of Finance and Econometrics, University of Konstanz.
  44. 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.
  45. Berkelaar, Arjan & Kouwenberg, Roy, 2003. "Retirement saving with contribution payments and labor income as a benchmark for investments," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1069-1097, April.
  46. Nicholas V. Vakkur & Zulma J & Herrera-Vakkur, 2012. "Ripple effects: Sarbanes Oxley's impact upon investor risk in a global economy," Review of Accounting and Finance, Emerald Group Publishing, vol. 11(2), pages 184-205, May.
  47. 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.
  48. Victoria Galsband & Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
  49. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-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.
  50. Stevenson, Simon, 2001. "Emerging markets, downside risk and the asset allocation decision," Emerging Markets Review, Elsevier, vol. 2(1), pages 50-66, March.
  51. Gallardo, Mauricio, 2013. "Using the downside mean-semideviation for measuring vulnerability to poverty," Economics Letters, Elsevier, vol. 120(3), pages 416-418.
  52. Gonzalo, J. & Olmo, J., 2007. "The impact of heavy tails and comovements in downside-risk diversification," Working Papers 07/02, Department of Economics, City University London.
  53. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, Michael, 2006. "Master funds in portfolio analysis with general deviation measures," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 743-778, February.
  54. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  55. Ruenzi, Stefan & Weigert, Florian, 2011. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Mar 2013.
  56. 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.
  57. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  58. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute.
  59. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  60. Galagedera, Don U.A., 2007. "An alternative perspective on the relationship between downside beta and CAPM beta," Emerging Markets Review, Elsevier, vol. 8(1), pages 4-19, March.
  61. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  62. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3382-3398.
  63. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  64. Jim Musumeci & Joe Musumeci, 1999. "A Dynamic-Programming Approach to Multiperiod Asset Allocation," Journal of Financial Services Research, Springer, vol. 15(1), pages 5-21, February.
  65. 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.
  66. Xufre Casqueiro, Patricia & Rodrigues, Antonio J.L., 2006. "Neuro-dynamic trading methods," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1400-1412, December.
  67. Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
  68. 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.
  69. Estrada, Javier, 2003. "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers D/493, IESE Business School.
  70. Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Working Papers 2007_02, Durham University Business School.
  71. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
  72. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  73. Bollen, Nicolas P. B. & Smith, Tom & Whaley, Robert E., 2004. "Modeling the bid/ask spread: measuring the inventory-holding premium," Journal of Financial Economics, Elsevier, vol. 72(1), pages 97-141, April.
  74. 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.
  75. Huang, Yu-Lieh & Tsai, Jeffrey Tzuhao & Yang, Sharon S. & Cheng, Hung-Wen, 2014. "Price bounds of mortality-linked security in incomplete insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 30-39.
  76. Post, G.T., 2003. "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," ERIM Report Series Research in Management ERS-2003-017-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.
  77. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
  78. Jules Sadefo Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  79. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  80. Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.