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A Risk-Return Model with Risk and Return Measured as Deviations from a Target Return
5 references·16 citing·42 second hop
A Risk-Return Model with Risk and Return Measured as Deviations from a Target Return (1981)A Risk-Return Model with Risk and Return …Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…TWO‐PIECE VON NEUMANN‐MORGENSTERN UTILITY FUNCTIONS* (1979)TWO‐PIECE VON NEUMANN‐MORGENS…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …The Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Diversification and portfolio theory: a review (2020)Diversification and portfolio…Real-Time Analysis of Oil Price Risks Using Forecast Scenarios (2014)Real-Time Analysis of Oil Pri…Behavioral finance in financial market theory, utility theory, portfolio theory and the necessary statistics: A review (2014)Behavioral finance in financi…Portfolio optimization in an upside potential and downside risk framework (2013)Portfolio optimization in an …Portfolio performance evaluation with loss aversion (2011)Portfolio performance evaluat…Portfolio selection in multidimensional general and partial moment space (2009)Portfolio selection in multid…The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan (2008)The Central Banker as a Risk …TSD-consistent performance assessment of mutual funds (2007)TSD-consistent performance as…Quantifying the Risk of Deflation (2007)Quantifying the Risk of Defla…Data envelopment analysis of mutual funds based on second-order stochastic dominance (2007)Data envelopment analysis of …Statistical properties of the sample semi-variance (2002)Statistical properties of the…A simple preference foundation of cumulative prospect theory with power utility (2002)A simple preference foundatio…Variance vs downside risk: Is there really that much difference? (1999)Variance vs downside risk: Is…An Extended Family of Financial-Risk Measures (1998)An Extended Family of Financi…A descriptive measure of risk (1988)A descriptive measure of riskA Comparison of Target MOTAD to MOTAD (1984)A Comparison of Target MOTAD …Optimal rules for ordering uncertain prospects (1975)Risk Aversion in the Small and in the Large (1976)Theory of Financial Decision Making. (1988)Increasing Downside Risk (2016)On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Risk Aversion in the Small and in the Large (1964)STRATEGIC REFERENCE POINT THEORY (1996)Theoretical Comparisons of Forms of Exchange (2003)Prospect theory on the brain? Toward a cognitive neuroscience of decision under risk (2005)Measuring the efficiency of decision making units (1978)Data Envelopment Analysis: A Comprehensive Text with Models, Applications, References and DEA-Solver Software (1999)Optimization of conditional value-at-risk (2000)Gains from diversification on convex combinations: A majorization and stochastic dominance approach (2009)General linear formulations of stochastic dominance criteria (2013)Estimation of portfolio efficiency via DEA (2014)PORTFOLIO SELECTION* (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Shortfall as a risk measure: properties, optimization and applications (2003)Fuzzy portfolio optimization under downside risk measures (2006)Mean-semivariance models for fuzzy portfolio selection (2007)Econometric policy evaluation: A critique (1976)Coherent Measures of Risk (1999)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Understanding the Decline in the Price of Oil Since June 2014 (2015)ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS (2017)Forecasting the real prices of crude oil using robust regression models with regularization constraints (2020)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Risk Management for Monetary Policy Near the Zero Lower Bound (2016)Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investasi Saham di Masa Pandemi COVID-19 (2020)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Risk as feelings. (2001)
this work references cited by second hop

References

  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1979TWO‐PIECE VON NEUMANN‐MORGENSTERN UTILITY FUNCTIONS*388 cited

Cited by

  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 2020Diversification and portfolio theory: a review105 cited
  • 2014Real-Time Analysis of Oil Price Risks Using Forecast Scenarios102 cited
  • 2007Data envelopment analysis of mutual funds based on second-order stochastic dominance90 cited
  • 2008The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan87 cited
  • 1988A descriptive measure of risk75 cited
  • 1998An Extended Family of Financial-Risk Measures75 cited
  • 2002A simple preference foundation of cumulative prospect theory with power utility68 cited
  • 2011Portfolio performance evaluation with loss aversion61 cited
  • 2009Portfolio selection in multidimensional general and partial moment space56 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1984A Comparison of Target MOTAD to MOTAD53 cited
  • 2013Portfolio optimization in an upside potential and downside risk framework52 cited
  • 2007Quantifying the Risk of Deflation48 cited
  • 2014Behavioral finance in financial market theory, utility theory, portfolio theory and the necessary statistics: A review45 cited
  • 2007TSD-consistent performance assessment of mutual funds35 cited
  • 2002Statistical properties of the sample semi-variance26 cited