Mean-semivariance behavior: Downside risk and capital asset pricing

TL;DR: In this article, the authors examine risk, return, and portfolio optimization at the industry level in China over the period 2007-2016, on the ground of the classical Markowitz framework for portfo...

TL;DR: In this paper, a co-skew-based risk measurement methodology was extended for the joint estimation of the jump betas for two stocks, by introducing the possibility of idiosyncratic jumps and analyzing the robustness of the estimated sensitivities when two stocks are jointly fit to the same set of latent jump factors.

TL;DR: In this article, the authors investigated the effectiveness of semivariance versus mean-variance optimisation on a risk-adjusted basis on the JSE and investigated the inclusion of a fixed-income asset in the optimal portfolio.

TL;DR: In this article, the authors present mathematical tools for calculating volatility, variance, covariance, correlation, and beta, not only across the entire spectrum of returns, but also on either side of mean returns.

TL;DR: In this paper, the authors present a critique of expected utility theory as a descriptive model of decision making under risk, and develop an alternative model, called prospect theory, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights.

TL;DR: Prospect Theory as mentioned in this paper is an alternative theory of individual decision making under risk, developed for simple prospects with monetary outcomes and stated probabilities, in which value is given to gains and losses (i.e., changes in wealth or welfare) rather than to final assets, and probabilities are replaced by decision weights.

TL;DR: In this paper, Bernoulli and Cramer show that mean-variance analysis should be rejected as the criterion for portfoliQ selection, no matter how economical it is as compared to alternate formal methods of analysis.

TL;DR: Prize Lecture to the memory of Alfred Nobel, December 7, 1990 as discussed by the authors, and this abstract was borrowed from another version of this item, which was published in 1990.