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An evaluation of MLPM allocation rules on emerging markets portfolios

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  • Pavabutr, Pantisa

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  • Pavabutr, Pantisa, 2003. "An evaluation of MLPM allocation rules on emerging markets portfolios," Emerging Markets Review, Elsevier, vol. 4(1), pages 73-90, March.
    • Handle: RePEc:eee:ememar:v:4:y:2003:i:1:p:73-90
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    References listed on IDEAS

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    1. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
    2. Gul, Faruk, 1991. "A Theory of Disappointment Aversion," Econometrica, Econometric Society, vol. 59(3), pages 667-686, May.
    3. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    4. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 285-311, September.
    5. 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.
    6. Stevenson, Simon, 2001. "Emerging markets, downside risk and the asset allocation decision," Emerging Markets Review, Elsevier, vol. 2(1), pages 50-66, March.
    7. Pedersen, C. S., 1998. "Empirical Tests for Differences in Equilibrium Risk Measures with Application to Downside Risk in Small and Large UK Companies," Accounting and Finance Discussion Papers 98-af41, Faculty of Economics, University of Cambridge.
    8. Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. "Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-855, June.
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