Mean-semivariance behavior: Downside risk and capital asset pricing

TL;DR: In this paper, the authors consider the Capital Asset Pricing Model to determine its most disputable points, identify concepts defining and supplementing the points of the model, and present an example of calculation of the cost of equity for a company of a forestry sector of Russia.

TL;DR: In this article, the authors proposed a rule of a thumb, named as crocodile rule for Pakistan Stock Exchange, which is an emerging stock market, according to which when a crocodile attacks the only recourse is to stop the struggle to safeguard.

TL;DR: In this paper, the authors present and compare the portfolio compositions and performance of four different portfolio optimization models using different risk measures, including variance, mean absolute deviation, Gini coefficient, and lower partial moments (LPM).

TL;DR: A diversification model in the mean-semivariance framework is presented which is based on the desirability or sensitivity of investor to positive and negative exchanges, and rate of this desirable or sensitivity can be controlled by use of a coefficient.

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.