Institutional investment decisions are generally centered around mandates, where a manager's deviation from the benchmark is controlled by means of a tracking error volatility (TEV) constraint. This constraint is of absolute nature: once imposed, it should be honored irrespective of market...

This study analyzes various measures of the downside beta of stocks. Downside beta is sometimes defined and estimated in different ways. Theoretically, an approach based on the mean-semi-variance equilibrium model appears superior. Two known alternative approaches are not consistent with the...