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...

Some researchers and many practitioners have move from the classic mean-variance (Markowitz, 1959) portfolio theory to a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investor’s preferences. Moreover, several studies (Friedman and...

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)...