The lower partial moment (LPM) has been the downside risk measure that is most commonly used in portfolio analysis. Its major disadvantage is that its underlying utility functions are linear above some target return. As a result, the upper partial moment (UPM)/lower partial moment (LPM) analysis...

We propose a bifurcation model of market returns to describe transitions between an 'over-reaction' mean regressive state and 'under-reaction' trend persistent states. Since July 1929, the Dow Jones Industrial Average has exhibited non-stationary state transition behavior, including: (1) mean...

While previous studies of industry concentration have traditionally utilized sales or market share data, no studies that we are aware of have been done with market capitalization data. If the markets are successful at valuing a firm's current and future prospects, it can be argued that...

Recent studies indicating long term dependence in stock market indices have found a mean reversion process. However, studies using rescaled range (R/S) analysis have not found evidence of a mean reversion or ergodic process. Instead, evidence from these studies indicate either long term...

While the semivariance (lower partial moment degree 2) has been variously described as being more in line with investors' attitude towards risk, implementation in a forecasting portfolio management role has been hampered by computational problems. The original formulation by Markowitz (1959)...