Downside Beta and Downside Gamma: In Search for a Better Capital Asset Pricing Model [PDF]
Risks, 2021 In the financial world, the importance of “downside risk” and “higher moments” has been emphasized, predominantly in developing countries such as Pakistan, for a substantial period.
Madiha Kazmi +3 more
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The Downside and Upside Beta Valuation in the Variance-Gamma Model
International Journal of Analysis and Applications, 2021 The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The
Roman V. Ivanov
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Analyzing the Relationship between Earnings Attributes, Earnings Beta, Earnings Volatility and Return Downside Risk measures with Earnings Downside Risk [PDF]
مطالعات تجربی حسابداری مالی, 2019 The purpose of this study is to investigate the information content of a new risk measure (earnings downside risk) in financial statement analysis, which is based on the below-expectation variability in earnings.
mahnam molaei +2 more
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Forecasting downside betas with multi-period components
International Review of Economics & FinanceAccurate forecasts of downside betas are critical for portfolio risk management because investors place greater weight on downside losses versus upside gains.
Yunting Liu, Jiawen Luo
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An Automated Decision Support System for Portfolio Allocation Based on Mutual Information and Financial Criteria [PDF]
EntropyThis paper introduces a two-phase decision support system based on information theory and financial practices to assist investors in solving cardinality-constrained portfolio optimization problems.
Massimiliano Kaucic +2 more
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Does downside beta matter in asset pricing? Evidence from the Egyptian Stock Exchange [PDF]
MSA-Management Sciences JournalSharpe’s (1964) beta was heavily criticized by scholars pinpointing many predicaments. Initially, the downside framework was introduced by Markowitz (1959) as an alternative to Sharpe’s beta.
Dalia El Mosallamy, Hadia Yasser
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An online portfolio selection algorithm using beta risk measure and fuzzy clustering [PDF]
Mathematics and Modeling in Finance, 2023 An online portfolio selection algorithm has been presented in this research. Online portfolio selection algorithms are concerned with capital allocation to several stocks to maximize the portfolio return over the long run by deciding the optimal ...
Matin Abdi +2 more
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Market and Accounting Measures of Risk: The Case of the Frankfurt Stock Exchange
Risks, 2022 The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange.
Anna Rutkowska-Ziarko
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Sorting Out Downside Beta [PDF]
SSRN Electronic Journal, 2012 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 basic principles of coherent risk measures and the properties
Post, G.T. +2 more
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Risks, 2023 The importance of Environmental, Social, and Governance (ESG) aspects in investment decisions has grown significantly in today’s volatile financial market.
Hemendra Gupta, Rashmi Chaudhary
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