The main objective of this paper is to analyze within the Mean-Downside Risk (MDR)-framework the relevance of the investment horizon for deriving optimal US asset class allocations. The choice of this risk framework is motivated by its close connection towards the way investors perceive risk and...

Assuming elliptical return distributions, we prove that minimum lower partial moments hedge ratios (according to Fishburn' s a-t model) are equal to or smaller than the minimum variance hedge ratio (strictly smaller for a=0, the target shortfall probability, and a=1 ). Therefore, if the latter...

Assuming elliptical return distributions, we prove that minimum lower partial moments hedge ratios (according to Fishburn' s a-t model) are equal to or smaller than the minimum variance hedge ratio (strictly smaller for a=0, the target shortfall probability, and a=1 ). Therefore, if the latter...