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

TL;DR: In this article, the authors proposed methods based on the defuzzification of interval estimates of the indicated numerical characteristics in the case of fuzzy polyinterval objects and on the representation of generalized interval estimations as a probability mixture of distributions forming such generalized estimations.

TL;DR: In this paper, the role of higher order higher order co-moments in asset pricing models when stock returns are not normal was examined and the results suggest that the downside Beta and higher order Co-Moments in the downside framework should be considered together when returns are non normal and that they out-perform the traditional beta.

TL;DR: In this paper, the influence of the organizational structure of investment management companies on the performance of their managers is examined based on a series of meetings with IMC managers and an analysis of both qualitative and quantitative data collected from a sample of IMCs and French investment funds.

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.