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An Analytical Comparison of Variance and Semivariance Capital Market Theories
7 references·6 citing·41 second hop
An Analytical Comparison of Variance and Semivariance Capital Market Theories (1979)An Analytical Comparison of Variance and …Semivariance and Stochastic Dominance: A Comparison (2016)Semivariance and Stochastic D…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …The Bias in Composite Performance Measures (1973)The Bias in Composite Perform…Computation of the Efficient Boundary in the E-S Portfolio Selection Model (1972)Computation of the Efficient …SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE (1970)SURVEY OF CAPITAL BUDGETING: …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Optimal portfolios with downside risk (2016)Optimal portfolios with downs…Portfolio optimization in an upside potential and downside risk framework (2013)Portfolio optimization in an …A NOTE ON SEMIVARIANCE (2006)A NOTE ON SEMIVARIANCEAsymmetric Risk Measures and Real Estate Returns (2005)Asymmetric Risk Measures and …ON VARIANCE AND LOWER PARTIAL MOMENT BETAS THE EQUIVALENCE OF SYSTEMATIC RISK MEASURES (1994)ON VARIANCE AND LOWER PARTIAL…VARIANCE AND LOWER PARTIAL MOMENT BETAS AS ALTERNATIVE RISK MEASURES IN COST OF CAPITAL ESTIMATION: A DEFENSE OF THE CAPM BETA (1990)VARIANCE AND LOWER PARTIAL MO…Admissibility and Measurable Utility Functions (1962)Rules for Ordering Uncertain Prospects (1969)The Efficiency Analysis of Choices Involving Risk (1969)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Marginal Conditional Stochastic Dominance (1994)On robust optimization of two-stage systems (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Conditional Skewness in Asset Pricing Tests (2000)The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis (2007)Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns (2008)The role of Malaysian securitised real estate in a mixed‐asset portfolio (2009)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)A Brief History of Downside Risk Measures (1999)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Functional Form, Skewness Effect, and the Risk-Return Relationship (1977)The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions (1981)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Optimal rules for ordering uncertain prospects (1975)Foundations of Portfolio Theory (1991)Investment, Interest and Capital. (1971)Selecting a risk-adjusted shareholder performance measure (2003)Mean-Semivariance Optimization: A Heuristic Approach (2007)Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory (2012)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Statistical properties of the sample semi-variance (2002)Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics (2015)Theory of games and economic behavior (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)A Survey of Capital Budgeting Techniques Used by Major U.S. Firms (1977)Asset Allocation in a Downside Risk Framework (2000)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1970SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE381 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2016Semivariance and Stochastic Dominance: A Comparison155 cited
  • 1972Computation of the Efficient Boundary in the E-S Portfolio Selection Model136 cited
  • 1973The Bias in Composite Performance Measures65 cited

Cited by

  • 2013Portfolio optimization in an upside potential and downside risk framework52 cited
  • 2005Asymmetric Risk Measures and Real Estate Returns44 cited
  • 1994ON VARIANCE AND LOWER PARTIAL MOMENT BETAS THE EQUIVALENCE OF SYSTEMATIC RISK MEASURES44 cited
  • 2006A NOTE ON SEMIVARIANCE41 cited
  • 2016Optimal portfolios with downside risk35 cited
  • 1990VARIANCE AND LOWER PARTIAL MOMENT BETAS AS ALTERNATIVE RISK MEASURES IN COST OF CAPITAL ESTIMATION: A DEFENSE OF THE CAPM BETA31 cited

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