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Equilibrium with investors using a diversity of deviation measures

Citations

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Cited by:

  1. Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
  2. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2015-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Branda, Martin, 2013. "Diversification-consistent data envelopment analysis with general deviation measures," European Journal of Operational Research, Elsevier, vol. 226(3), pages 626-635.
  4. Marcelo Brutti Righi, 2017. "Closed spaces induced by deviation measures," Economics Bulletin, AccessEcon, vol. 37(3), pages 1781-1784.
  5. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "European Market Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2014-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  6. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
  7. David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Working Papers in Economics 14/27, University of Canterbury, Department of Economics and Finance.
  8. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
  9. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  10. Bogdan Grechuk & Andrzej Palczewski & Jan Palczewski, 2018. "On the solution uniqueness in portfolio optimization and risk analysis," Papers 1810.11299, arXiv.org, revised Oct 2020.
  11. David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2016. "Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis," JRFM, MDPI, vol. 9(2), pages 1-18, June.
  12. Bogdan Grechuk & Michael Zabarankin, 2012. "Optimal risk sharing with general deviation measures," Annals of Operations Research, Springer, vol. 200(1), pages 9-21, November.
  13. Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
  14. Schoch, Daniel, 2017. "Generalised mean-risk preferences," Journal of Economic Theory, Elsevier, vol. 168(C), pages 12-26.
  15. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
  16. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
  17. Pınar, Mustafa Ç., 2014. "Equilibrium in an ambiguity-averse mean–variance investors market," European Journal of Operational Research, Elsevier, vol. 237(3), pages 957-965.
  18. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2011. "Good deals in markets with frictions," DEE - Working Papers. Business Economics. WB wb110302, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  19. Grechuk, Bogdan & Zabarankin, Michael, 2014. "Inverse portfolio problem with mean-deviation model," European Journal of Operational Research, Elsevier, vol. 234(2), pages 481-490.
  20. Bogdan Grechuk & Anton Molyboha & Michael Zabarankin, 2012. "Mean‐Deviation Analysis in the Theory of Choice," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1277-1292, August.
  21. Zabarankin, Michael & Pavlikov, Konstantin & Uryasev, Stan, 2014. "Capital Asset Pricing Model (CAPM) with drawdown measure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 508-517.
  22. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
  23. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
  24. Bogdan Grechuk & Anton Molyboha & Michael Zabarankin, 2009. "Maximum Entropy Principle with General Deviation Measures," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 445-467, May.
  25. Taras Bodnar & Taras Zabolotskyy, 2017. "How risky is the optimal portfolio which maximizes the Sharpe ratio?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(1), pages 1-28, January.
  26. Tim J. Boonen & Xia Han, 2023. "Optimal insurance with mean-deviation measures," Papers 2312.01813, arXiv.org.
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