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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. 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.
  2. 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.
  3. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
  4. 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.
  5. Noor Muhammad & Frank Scrimgeour & Krishna Reddy & Sazali Abidin, 2015. "The Impact of Corporate Environmental Performance on Market Risk: The Australian Industry Case," Journal of Business Ethics, Springer, vol. 132(2), pages 347-362, December.
  6. 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.
  7. Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012. "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1279-1301, December.
  8. 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.
  9. repec:dgr:rugsom:02e45 is not listed on IDEAS
  10. Jules Sadefo Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  11. 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 University Rotterdam.
  12. Yinxia Nielsen, Caren, 2015. "Banks’ credit-portfolio choices and riskbased capital regulation," Knut Wicksell Working Paper Series 2015/8, Knut Wicksell Centre for Financial Studies, Lund University.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Alles, Lakshman & Murray, Louis, 2013. "Rewards for downside risk in Asian markets," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2501-2509.
  19. 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.
  20. Oliver Linton & Thierry Post & Yoon‐Jae Whang, 2014. "Testing for the stochastic dominance efficiency of a given portfolio," Econometrics Journal, Royal Economic Society, vol. 17(2), pages S59-S74, 06.
  21. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  22. Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  23. Gonzalo, Jesús & Olmo, José, 2007. "The impact of heavy tails and comovements in downside-risk diversification," UC3M Working papers. Economics we20070208, Universidad Carlos III de Madrid. Departamento de Economía.
  24. 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.
  25. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 144-172, February.
  26. Guo, Dongmei & Hu, Yi & Wang, Shouyang & Zhao, Lin, 2016. "Comparing risks with reference points: A stochastic dominance approach," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 105-116.
  27. 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.
  28. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  29. 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.
  30. André De Palma & Nathalie Picard & Laetitia Andrieu, 2012. "Risk in Transport Investments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00719698, HAL.
  31. 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.
  32. Estrada, Javier, 2003. "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers D/491, IESE Business School.
  33. 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.
  34. Mohammed Bouaddi & Denis Larocque & Michel Normandin, 2010. "Equity Premia and State-Dependent Risks," Cahiers de recherche 1019, CIRPEE.
  35. 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.
  36. 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.
  37. Hsin-Ting SU & Yeou-Koung Tung, 2014. "Comparisons of Risk-based Decision Rules for the Application of Water Resources Planning and Management," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(12), pages 3921-3935, September.
  38. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  39. Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor, 2014. "Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 14-29.
  40. 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.
  41. 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.
  42. Olmo, José & Gonzalo, Jesús, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de Economía.
  43. 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).
  44. Ioannis Oikonomou & Chris Brooks & Stephen Pavelin, 2012. "The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis," Financial Management, Financial Management Association International, vol. 41(2), pages 483-515, 06.
  45. Victoria Galsband & Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
  46. 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.
  47. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
  48. Lesław Markowski, 2015. "Modelling return and conditional volatility exposures in the downside framework for new tech and media stocks on the Warsaw Stock Exchange," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 36, pages 391-402.
  49. 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.
  50. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2015. "Systemic risk and asymmetric responses in the financial industry," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 471-485.
  51. 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.
  52. 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 University Rotterdam.
  53. Kraeussl, Roman & Logher, Robin, 2010. "Emerging art markets," Emerging Markets Review, Elsevier, vol. 11(4), pages 301-318, December.
  54. Javed Iqbal & Sara Azher, 2014. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 19(2), pages 71-100, July-Dec.
  55. Emili Grifell-Tatjé & P. Marquès-Gou, 2002. "Measuring Sustained Superior Performance at the Firm Level," Working Papers 0208, Departament Empresa, Universitat Autònoma de Barcelona, revised Jul 2002.
  56. 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.
  57. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  58. Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Working Papers 2007_02, Durham University Business School.
  59. 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.
  60. Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series 2006/24, Center for Financial Studies (CFS).
  61. José L. B. Fernandes & Augusto Hasman & Juan Ignacio Peña, 2006. "Risk Premium: Insights Over The Threshold," Working Papers Series 126, Central Bank of Brazil, Research Department.
  62. 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 University Rotterdam.
  63. Nielsen, Caren Yinxia, 2016. "Banks' Credit-Portfolio Choices and Risk-Based Capital Regulation," Working Papers 2016:9, Lund University, Department of Economics.
  64. Estrada, Javier, 2003. "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers D/493, IESE Business School.
  65. 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 University Rotterdam.
  66. 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.
  67. Olmo, José & Gonzalo, Jesús, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de Economía.
  68. Takashi Hasuike & Hiroaki Ishii, 2009. "Probability maximization models for portfolio selection under ambiguity," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 17(2), pages 159-180, June.
  69. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  70. 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).
  71. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  72. Stevenson, Simon, 2001. "Emerging markets, downside risk and the asset allocation decision," Emerging Markets Review, Elsevier, vol. 2(1), pages 50-66, March.
  73. 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.
  74. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
  75. Gallardo, Mauricio, 2013. "Using the downside mean-semideviation for measuring vulnerability to poverty," Economics Letters, Elsevier, vol. 120(3), pages 416-418.
  76. 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.
  77. 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.
  78. 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.
  79. 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.
  80. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
  81. Liang Zou, 2005. "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 185-207, May.
  82. 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.
  83. 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 University Rotterdam.
  84. 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.
  85. Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
  86. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute.
  87. Soosung Hwang & Christian Pedersen, 2002. "On Empirical Risk Measurement with Asymmetric Returns Data," Working Papers wp02-03, Warwick Business School, Finance Group.
  88. 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.
  89. 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 University Rotterdam.
  90. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  91. 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.
  92. Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2013. "Crash Sensitivity and the Cross-Section of Expected Stock Returns," Working Papers on Finance 1324, University of St. Gallen, School of Finance, revised Feb 2016.
  93. 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.
  94. Jim Musumeci & Joe Musumeci, 1999. "A Dynamic-Programming Approach to Multiperiod Asset Allocation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(1), pages 5-21, February.
  95. 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.
  96. 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.
  97. repec:hal:journl:halshs-00196443 is not listed on IDEAS
  98. Lesław Markowski, 2016. "Dolnostronne miary ryzyka a wycena aktywów kapitałowych na przykładzie sektora IT i mediów Giełdy Papierów Wartościowych w Warszawie," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 439-452.
  99. Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
  100. 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.
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