Mean-Risk Analysis with Risk Associated with Below-Target Returns

TL;DR: In this article, a portfolio built from bonds and shares corresponding to the CAPM is analyzed and the possible loss of this portfolio is measured by a so-called lower partial moment of the rate of return of the portfolio.

TL;DR: In this article, the prediction capacity of the different risk measures and the relationship between risk and return was analyzed in the context of the last economic crisis and a logistic regression was developed to verify whether the companies' predictions were eventually correct, considering those companies that were able to survive the crisis.

TL;DR: In this paper, the authors propose a performance measure based on the value-at-risk framework, which is perfectly adapted to passive management and ETFs and may help investors in their fund selection process.

TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.

TL;DR: In this article, a measure of risk aversion in the small, the risk premium or insurance premium for an arbitrary risk, and a natural concept of decreasing risk aversion are discussed and related to one another.

TL;DR: Preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities, as well as the possibility of low-cost analysis.