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Mean-Risk Analysis with Risk Associated with Below-Target Returns
About: This article is published in The American Economic Review. The article was published on 01 Sep 1975. and is currently open access. The article focuses on the topics: Risk analysis & Downside risk.
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Citations
Identifying vulnerability to poverty: a critical survey
TL;DR: In this paper, a detailed conceptual discussion on vulnerability to poverty and its related elements, reviewing a wide range of identifying criteria provided in the literature, is presented, and it is found that according to the state of the art in this field of research, two key elements stand out in identifying vulnerable individuals: an expected well-being below the poverty line and a relevant risk of falling into poverty due to a downside deviation from a reference level of well being.
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Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
TL;DR: In this paper, a stochastic programming model for portfolio selection is proposed, in which the portfolio semivariance is the objective function to be minimized subject to standard parametric constraints, leading to the mean-semivariance efficient frontier.
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The Impact of Poor Performance on Risk‐Taking Attitudes: A Longitudinal Study with a PLS Causal Modeling Approach
TL;DR: In this article, the authors examine the use of prospect theory in risk-return research and suggest remedies for inconsistencies in the application of prospect theories to risk return research and propose an empirical test of the Bowman hypothesis with data from brewing firms in the United States.
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International diversification benefits with foreign exchange investment styles
TL;DR: In this paper, a comprehensive analysis of portfolio choice with popular foreign exchange (FX) investment styles such as carry trades and strategies commonly known as FX momentum, and FX value is provided.
A simple preference foundation of cumulative prospect theory with power utility
Peter P. Wakker,Horst Zank +1 more
TL;DR: In this article, a simple preference foundation for rank-dependent utility and cumulative prospect theory is proposed, namely tail independence (a weakening of comonotonic independence) together with constant proportional risk aversion, in the presence of common assumptions (weak ordering, continuity, and first stochastic dominance).
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References
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Theory of Games and Economic Behavior
John von Neumann,Oskar Morgenstern +1 more
- 01 Jan 1944
TL;DR: Theory of games and economic behavior as mentioned in this paper is the classic work upon which modern-day game theory is based, and it has been widely used to analyze a host of real-world phenomena from arms races to optimal policy choices of presidential candidates, from vaccination policy to major league baseball salary negotiations.
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
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.
10.5K
Risk Aversion in the Small and in the Large
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.
5.6K
A Simplified Model for Portfolio Analysis
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.
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