Search Results - subject:"Semi‐variance"

An extensile method on the arbitrage pricing theory based on downside risk (D-APT)

Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) January, pp. 54-72

, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study … two deficient measures of factor's beta and variance with more efficient measures of factors’ downside betas and semi-variance … the concepts of semi-variance and downside beta in the conventional APT model to propose a new model, namely, the D-APT. …

Persistent link: https://www.econbiz.de/10010732410

Valuation, downside risk measures and asymmetric information : a portfolio optimization approach

Kroll, Yoram; Ben-Horin, Moshe - In: International journal of economics, finance and … 2 (2014) 6, pp. 319-331

Persistent link: https://www.econbiz.de/10010508729

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) 3, pp. 247-270

Purpose – This paper aims to evaluate the risk‐adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M‐DRM) based on the modern portfolio theory. The purpose is to report...

Persistent link: https://www.econbiz.de/10014785582

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) June, pp. 247-270

Purpose – This paper aims to evaluate the risk-adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M-DRM) based on the modern portfolio theory. The purpose is to report the...

Persistent link: https://www.econbiz.de/10010814595

Fundamental portfolio construction based on semi-variance

Rutkowska-Ziarko, Anna - In: Olsztyn economic journal 8 (2013) 2, pp. 151-162

Persistent link: https://www.econbiz.de/10010506163

Methods of finding the effective portfolio for semi-variance

Rutkowska-Ziarko, Anna - In: Operations Research and Decisions 3-4 (2005), pp. 63-83

semi-variance to measure the negative deviations only. However, finding the portfolio with minimum semi-variance is much … portfolios with the minimum semi-variance from the assumer return rate appeared. …

Persistent link: https://www.econbiz.de/10008777295

Conditional Downside Risk and the CAPM

Vliet, Pim van; Post, Post, G.T. - Erasmus Research Institute of Management (ERIM), … - 2004

The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks...

Persistent link: https://www.econbiz.de/10010837607

Asymmetry, Loss Aversion and Forecasting

Satchell, Stephen E.; Bond, Shaun A. - Econometric Society - 2004

semi-variance), including distribution and regime based models. The findings show that when agents are loss averse, there … using symmetric volatility models). In general direct approaches to modelling the semi-variance are preferred to …

Persistent link: https://www.econbiz.de/10005130163

Conditional Downside Risk and the CAPM

Post, G.T.; Vliet, P. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2004

Persistent link: https://www.econbiz.de/10005288550

Re-evaluating Hedging Performance

Cotter, John; Hanly, Jim - Geary Institute, University College Dublin - 2011

Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. We compare the hedging performance of short and long hedgers using...

Persistent link: https://www.econbiz.de/10009143702