Journal Article10.1016/J.IREF.2005.03.003
Mean-semivariance behavior: Downside risk and capital asset pricing
TL;DR: In this paper, the authors present an alternative measure of risk for diversified investors, the downside beta; and an alternative pricing model based on this risk measure, which can be used to generate an alternative behavioral hypothesis, mean-semivariance behavior.
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About: This article is published in International Review of Economics & Finance. The article was published on 01 Jan 2007. The article focuses on the topics: Downside beta & Downside risk.
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Citations
Higher Order Moment of IDXNONCYC on Stock Return PT Nippon Indosari Corpindo Tbk Predictability
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•Dissertation
Three Essays on Ethical Corporate Behavior
Sonal Kumar
- 13 Apr 2020
TL;DR: The authors examined the earnings management behavior of female chief executive officers (CEOs) conditional on the power they hold and found that women and male CEOs exhibit similar earnings management behaviors with increased power.
Economics of Downside Risk
Conrad Spanaus
- 01 Jan 2019
TL;DR: In this article, the authors introduce the notion of a downside risk asset market equilibrium (DRAME) in an asset market with finitely many investors and specify a DRAME pricing formula.
•Journal Article
The Downside and Upside Beta Valuation in the Variance-Gamma Model
TL;DR: In this article, the risks and gains of investment portfolio which relate to the impact of a particular asset are assessed. And the analytical formulas for the downside and upside betas in the discussed framework are derived.
•Posted Content
Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk/Dinámica de la Beta Bariónica: Un modelo Econofísico de Riesgo Sistemático
James Ming Chen
- 01 Jan 2018
TL;DR: In this paper, the basic unit of systematic risk, the beta, is split into subatomic (or baryonic) components by analogy to quantum chromodynamics and other aspects of the Standard Model of particle physics.
References
Prospect theory: an analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
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.
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Prospect Theory: An Analysis of Decision Under Risk
Daniel Kahneman,Amos Tversky +1 more
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.
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Approximating Expected Utility by a Function of Mean and Variance
Haim Levy,H M Markowtiz +1 more
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.
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Foundations of Portfolio Theory
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.
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