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Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
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Cited by:
- 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.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, vol. 8(1), pages 97-122, February.
- S. M. Sunoj & S. S. Maya, 2008. "The role of lower partial moments in stochastic modeling," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 223-242.
- Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
- John Cotter & Jim Hanly, 2012.
"Hedging effectiveness under conditions of asymmetry,"
The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
- Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Papers 1103.5411, arXiv.org.
- 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).
- 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.
- 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.
- Huang, Jinbo & Li, Yong & Yao, Haixiang, 2022. "Partial moments and indexation investment strategies," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 39-59.
- 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.
- 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.
- Dai, Jun & Zhou, Haigang & Zhao, Shaoquan, 2017. "Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 502-510.
- Schröder, Michael, 1996. "Value at risk: proposals on a generalization," ZEW Discussion Papers 96-12, ZEW - Leibniz Centre for European Economic Research.
- Li, Xiang & Qin, Zhongfeng, 2014. "Interval portfolio selection models within the framework of uncertainty theory," Economic Modelling, Elsevier, vol. 41(C), pages 338-344.
- 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".
- Franke, Guenther & Weber, Martin, 1997. "Risk-Value Efficient Portfolios and Asset Pricing," Sonderforschungsbereich 504 Publications 97-32, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Knoke, Thomas, 2008. "Mixed forests and finance -- Methodological approaches," Ecological Economics, Elsevier, vol. 65(3), pages 590-601, April.
- Hildebrandt, Patrick & Knoke, Thomas, 2009. "Optimizing the shares of native tree species in forest plantations with biased financial parameters," Ecological Economics, Elsevier, vol. 68(11), pages 2825-2833, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Lee, Sang-Hak & Yang, Seung-Ryong, 2000. "The Minimum Semi-Variance Hedge For Food Manufacturers In Korea," 2000 Annual meeting, July 30-August 2, Tampa, FL 21867, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Clasen, Christian & Griess, Verena C. & Knoke, Thomas, 2011. "Financial consequences of losing admixed tree species: A new approach to value increased financial risks by ungulate browsing," Forest Policy and Economics, Elsevier, vol. 13(6), pages 503-511, July.
- Gumsong Jo & Hyokil Kim & Hoyong Kim & Gyongho Ri, 2024. "Fuzzy Portfolio Selection Using Stochastic Correlation," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1493-1509, April.
- Hildebrandt, Patrick & Knoke, Thomas, 2011. "Investment decisions under uncertainty--A methodological review on forest science studies," Forest Policy and Economics, Elsevier, vol. 13(1), pages 1-15, January.
- Dragicevic, Arnaud Z., 2019. "Rethinking the forestry in the Aquitaine massif through portfolio management," Forest Policy and Economics, Elsevier, vol. 109(C).
- Demirer, Riza, 2013. "Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets," Research in International Business and Finance, Elsevier, vol. 29(C), pages 77-98.
- Demirer, Riza & Lien, Donald, 2003. "Downside risk for short and long hedgers," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 25-44.