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Capital market equilibrium in a mean-lower partial moment framework

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Cited by:

  1. 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.
  2. Guobin Fan & Eric Girardin & Wong K. Wong & Yong Zeng, 2015. "The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-17, November.
  3. Wong, Man Hong, 2013. "Investment models based on clustered scenario trees," European Journal of Operational Research, Elsevier, vol. 227(2), pages 314-324.
  4. Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
  5. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, vol. 115(C).
  6. 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.
  7. Estrada, Javier, 2007. "Mean-semivariance behavior: Downside risk and capital asset pricing," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 169-185.
  8. 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.
  9. González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
  10. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
  11. Wang, Bingjie & Li, Jinzhu, 2024. "Asymptotic results on tail moment for light-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 43-55.
  12. 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.
  13. Atwood, Joseph & Shaik, Saleem, 2020. "Theory and statistical properties of Quantile Data Envelopment Analysis," European Journal of Operational Research, Elsevier, vol. 286(2), pages 649-661.
  14. Fredy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Empirical Performance of an ESG Assets Portfolio from US Market," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1569-1638, September.
  15. U D Kumar & A B Roy & H Saranga & K Singal, 2010. "Analysis of hedge fund strategies using slack-based DEA models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(12), pages 1746-1760, December.
  16. 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.
  17. Maarten van Oordt & Chen Zhou, 2011. "Systematic risk under extremely adverse market condition," DNB Working Papers 281, Netherlands Central Bank, Research Department.
  18. 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.
  19. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  20. Estrada, Javier, 2003. "Cost of equity of Internet stocks: A downside risk approach, The," IESE Research Papers D/491, IESE Business School.
  21. 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.
  22. 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.
  23. Farago, Adam & Tédongap, Roméo, 2018. "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 69-86.
  24. Franke, Günter & Weber, Martin, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers 01/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
  25. Olmo, José, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de Economía.
  26. Balbás, Alejandro & Serna, Gregorio, 2024. "Selling options to beat the market: Further empirical evidence," Research in International Business and Finance, Elsevier, vol. 67(PB).
  27. Don Galagedera & Elizabeth Maharaj & Robert Brooks, 2008. "Relationship between downside risk and return: new evidence through a multiscaling approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1623-1633.
  28. 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.
  29. Kouadio, Jean Joel & Mwamba, Muteba & Bonga-Bonga, Lumengo, 2019. "Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange," MPRA Paper 96570, University Library of Munich, Germany.
  30. John L. Glascock & Ran Lu-Andrews, 2018. "The Asymmetric Conditional Beta-Return Relations of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 57(2), pages 231-245, August.
  31. Yuanyao Ding & Bo Zhang, 2009. "Risky asset pricing based on safety first fund management," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 353-361.
  32. Mohammad Enamul Hoque & Soo-Wah Low, 2020. "Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework," Mathematics, MDPI, vol. 8(10), pages 1-28, October.
  33. 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.
  34. Madiha Kazmi & Umara Noreen & Imran Abbas Jadoon & Attayah Shafique, 2021. "Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model," Risks, MDPI, vol. 9(12), pages 1-14, December.
  35. Enrico G. De Giorgi & Thierry Post & Atakan Yalcin, 2012. "A Concave Security Market Line," Koç University-TUSIAD Economic Research Forum Working Papers 1211, Koc University-TUSIAD Economic Research Forum.
  36. 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.
  37. 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.
  38. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
  39. Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
  40. Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018. "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1059-1100, June.
  41. Yao, Haixiang & Huang, Jinbo & Li, Yong & Humphrey, Jacquelyn E., 2021. "A general approach to smooth and convex portfolio optimization using lower partial moments," Journal of Banking & Finance, Elsevier, vol. 129(C).
  42. Truong Thi Thu Thuy & Jungmu Kim, 2018. "Sustainability Managed against Downside Risk and the Cost of Equity: Evidence in Korea," Sustainability, MDPI, vol. 10(11), pages 1-18, October.
  43. André Palma & Nathalie Picard & Laetitia Andrieu, 2012. "Risk in Transport Investments," Networks and Spatial Economics, Springer, vol. 12(2), pages 187-204, June.
  44. Zhangxin (Frank) Liu & Michael J. O'Neill, 2018. "Partial moment volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 195-215, March.
  45. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.
  46. Dybvig, Philip & Liu, Fang, 2018. "On investor preferences and mutual fund separation," Journal of Economic Theory, Elsevier, vol. 174(C), pages 224-260.
  47. 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.
  48. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  49. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
  50. Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
  51. Lesław Markowski, 2015. "Conditional Volatility Exposures in Asset Pricing in the Downside and Classical Framework," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(1).
  52. 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.
  53. 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.
  54. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019. "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  55. 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.
  56. Houda Hafsa & Dorra Hmaied, 2012. "Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 65-81.
  57. 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.
  58. Pedersen, Christian S., 2000. "Separating risk and return in the CAPM: A general utility-based model," European Journal of Operational Research, Elsevier, vol. 123(3), pages 628-639, June.
  59. Mohd Azdi Maasar & Diana Roman & Paresh Date, 2022. "Risk minimisation using options and risky assets," Operational Research, Springer, vol. 22(1), pages 485-506, March.
  60. 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.
  61. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
  62. Huang, Jinbo & Li, Yong & Yao, Haixiang, 2022. "Partial moments and indexation investment strategies," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 39-59.
  63. Katerina Ivanov & James Schulte & Weidong Tian & Kevin Tseng, 2021. "An Equilibrium-Based Measure of Systemic Risk," JRFM, MDPI, vol. 14(9), pages 1-24, September.
  64. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
  65. Altug, Sumru & Çakmaklı, Cem & Demircan, Hamza, 2018. "Modeling of Economic and Financial Conditions for Nowcasting and Forecasting Recessions: A Unified Approach," CEPR Discussion Papers 13171, C.E.P.R. Discussion Papers.
  66. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  67. Asgar Ali & K. N. Badhani, 2023. "Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 27-43, February.
  68. Ling, Aifan & Sun, Jie & Wang, Meihua, 2020. "Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set," European Journal of Operational Research, Elsevier, vol. 285(1), pages 81-95.
  69. Estrada, Javier, 2003. "Mean-semivariance behavior (II): The D-CAPM," IESE Research Papers D/493, IESE Business School.
  70. 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.
  71. 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.
  72. 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.
  73. Andrew Ang & Joseph Chen & Yuhang Xing, 2006. "Downside Risk," The 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.).
  74. Farrukh Naveed & Muhammad Ishfaq & Zahid Maqbool, 2021. "The downside risk of mutual funds: Does the quality of corporate governance matter? Empirical evidence from Pakistan," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 376-388, September.
  75. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
  76. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
  77. José Soares Fonseca, 2020. "Portfolio selection in euro area with CAPM and Lower Partial Moments models," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(1), pages 49-66, January.
  78. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
  79. 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.
  80. 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.
  81. Dobrynskaya, Victoria, 2024. "Is downside risk priced in cryptocurrency market?," International Review of Financial Analysis, Elsevier, vol. 91(C).
  82. 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).
  83. Turvey, Calum G., 2010. "Whole Farm Income Insurance in a Canadian Context," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61732, Agricultural and Applied Economics Association.
  84. 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.
  85. Sean A. Anthonisz & Tālis J. Putniņš, 2017. "Asset Pricing with Downside Liquidity Risks," Management Science, INFORMS, vol. 63(8), pages 2549-2572, August.
  86. 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(6), pages 1279-1301, December.
  87. Peter Xu & Rich Pettit, 2014. "No-arbitrage conditions and expected returns when assets have different β’s in up and down markets," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 62-71, February.
  88. 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 - Leibniz Centre for European Economic Research.
  89. 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.
  90. Anna Rutkowska-Ziarko & Lesław Markowski, 2022. "Accounting and Market Risk Measures of Polish Energy Companies," Energies, MDPI, vol. 15(6), pages 1-21, March.
  91. 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.
  92. 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.
  93. Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
  94. Syed Aziz Rasool & Adiqa Kausar Kiani & Noor Jehan, 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries," Global Social Sciences Review, Humanity Only, vol. 3(3), pages 265-280, September.
  95. Shahzad Hussain & Syed Muhammad Amir Shah, 2017. "Corporate Governance and Downside Systematic Risk with a Moderating Role of Socio-Political in Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(4), pages 233-258, December.
  96. Schröder, Michael, 1996. "Value at risk: proposals on a generalization," ZEW Discussion Papers 96-12, ZEW - Leibniz Centre for European Economic Research.
  97. Georges Dionne & Jingyuan Li & Cédric Okou, 2024. "An alternative representation of the C-CAPM with higher-order risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(2), pages 194-233, September.
  98. Liang Zou, 2005. "Dichotomous Asset Pricing Model," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 185-207, May.
  99. Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019. "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series 2019-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  100. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  101. Eszter Balogh & Zsuzsa Kékesi & Balázs Sisak, 2019. "Analysis of Households’ Investment Decisions Based on International Data," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 18(1), pages 60-87.
  102. 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.
  103. Gilles Sanfilippo, 2003. "Stocks, bonds and the investment horizon: a test of time diversification on the French market," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 345-351.
  104. Olmo, José, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de Economía.
  105. Jules Sadefo-Kamdem, 2011. "Downside Risk And Kappa Index Of Non-Gaussian Portfolio With Lpm," Working Papers hal-00733043, HAL.
  106. 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.
  107. De Giorgi, Enrico G. & Post, Thierry & Yalçın, Atakan, 2019. "A concave security market line," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 65-81.
  108. Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.
  109. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  110. Bi, Hongwei & Huang, Rachel J. & Tzeng, Larry Y. & Zhu, Wei, 2019. "Higher-order Omega: A performance index with a decision-theoretic foundation," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 43-57.
  111. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
  112. repec:dgr:rugsom:02e45 is not listed on IDEAS
  113. Angelica Gonzalez & Paul André, 2014. "Board Effectiveness and Short Termism," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 185-209, January.
  114. Zarifhonarvar, Ali, 2023. "The Capital Asset Pricing Model: A New Empirical Investigation," EconStor Preprints 268396, ZBW - Leibniz Information Centre for Economics.
  115. Ole Linnemann Nielsen & Anders Merrild Posselt, 2022. "Betting on mean reversion in the VIX? Evidence from ETP flows," CREATES Research Papers 2022-06, Department of Economics and Business Economics, Aarhus University.
  116. Fernandes, José L. B., 2006. "Risk premium: insights over the threshold," DEE - Working Papers. Business Economics. WB wb062808, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  117. Jozef Baruník & Matěj Nevrla, 2023. "Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1590-1646.
  118. Niv Nayman, 2018. "Shortfall Risk Minimization Under Fixed Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-29, August.
  119. 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.
  120. 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.
  121. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
  122. 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 59-74, June.
  123. 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.
  124. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
  125. 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.
  126. Franke, Günter & Weber, Martin, 1997. "Risk-value efficient portfolios and asset pricing," Discussion Papers, Series II 354, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  127. David Blitz, 2014. "Agency†Based Asset Pricing and the Beta Anomaly," European Financial Management, European Financial Management Association, vol. 20(4), pages 770-801, September.
  128. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
  129. Yaron Levi & Ivo Welch & Andrew Karolyi, 2020. "Symmetric and Asymmetric Market Betas and Downside Risk," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2772-2795.
  130. 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.
  131. Ariful Hoque & Robin Kämmer & Frieder Meyer-Bullerdiek, 2018. "Portfolio insurance strategies in a low interest rate environment: A simulation based study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-2.
  132. Radeef Chundakkadan, 2021. "Light a lamp and look at the stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
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