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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
Catastrophic Risk and Securities Design
TL;DR: In this article, the authors examine major factors influencing the market for catastrophe bonds and conclude that psychological factors have a major impact on the pricing of these bonds, and on the lack of acceptance they have encountered from investors.
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Portfolio Choice based on Third-degree Stochastic Dominance, With an Application to Industry Momentum
Thierry Post,Miloš Kopa +1 more
TL;DR: In this article, a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance was developed and implemented, based on the properties of the semi-variance function, a refinement of an existing'superconvex' dominance condition and quadratic constrained programming.
On the exploitability of the turn-of-the-month effect-an international perspective
TL;DR: Turn-of-the-month effect (TOME) and its economic relevance have been examined in this article, showing that an out-ofsample trading strategy based on the TOME is profitable in all studied futures, including when transaction costs and slippage are taken into account.
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•Posted Content
Farinelli and Tibiletti ratio and Stochastic Dominance
TL;DR: In this article, the consistency of F-T ratios with any nonnegative values p and q with respect to first-order stochastic dominance was established, and it was shown that second-order Stochastic Dominance does not lead to F-Ts dominance with any p or q.
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Asymmetry and downside risk in foreign exchange markets
Shaun A. Bond,Stephen Satchell +1 more
TL;DR: In this article, the double gamma distribution is used as a means of modelling asymmetry in the conditional distribution of financial data and the results for the Malaysian Riggit, Zimbabwe Dollar and the Korean Won demonstrate the extreme downside volatility experienced by these countries during the emerging markets currency crisis.
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References
•Book
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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