Volume 28, Issue 3
Article

A GENERAL CLASS OF THREE‐PARAMETER RISK MEASURES

First published: June 1973
Citations: 49
Cornell University, Graduate School of Business and Public Administration.
First page image

Number of times cited according to CrossRef: 49

  • The Traditional Risk Measures, Risk Measurement, 10.1007/978-3-030-02680-6, (37-67), (2019).
  • Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review, Journal of Risk and Financial Management, 10.3390/jrfm12010048, 12, 1, (48), (2019).
  • Risk: An R Package for Financial Risk Measures, Computational Economics, 10.1007/s10614-018-9806-9, (2018).
  • Downside-Effizienz, Downside-orientiertes Portfoliomanagement, 10.1007/978-3-658-16664-9, (121-175), (2017).
  • The Influence of a Firmss Business Strategy on the Downside Risk of Earnings, Accruals and Cash Flow, SSRN Electronic Journal, 10.2139/ssrn.2984625, (2017).
  • Does Accounting Conservatism Mitigate the Shortcomings of CEO Overconfidence?, The Accounting Review, 10.2308/accr-51718, 92, 6, (77-101), (2017).
  • Taxable Income and Firm Risk, The Journal of the American Taxation Association, 10.2308/atax-51610, 39, 1, (1-24), (2017).
  • CAPM with various utility functions: Theoretical developments and application to international data, Cogent Economics & Finance, 10.1080/23322039.2017.1343230, 5, 1, (2017).
  • Accounting-based downside risk, cost of capital, and the macroeconomy, Review of Accounting Studies, 10.1007/s11142-015-9338-7, 21, 1, (1-36), (2015).
  • Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs, Applied Mathematics and Computation, 10.1016/j.amc.2015.01.050, 256, (445-458), (2015).
  • Accounting-Based Downside Risk, Cost of Capital, and the Macroeconomy, SSRN Electronic Journal, 10.2139/ssrn.2622180, (2015).
  • CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS, International Economic Review, 10.1111/iere.12072, 55, 3, (819-838), (2014).
  • Mean-risk analysis with enhanced behavioral content, European Journal of Operational Research, 10.1016/j.ejor.2014.06.001, 239, 3, (764-775), (2014).
  • Investment Rankings via an Objective Measure of Riskiness: A Case Study, Mathematical and Statistical Methods for Actuarial Sciences and Finance, 10.1007/978-3-319-02499-8, (195-204), (2014).
  • Mean‐Variance Analyses, Wiley StatsRef: Statistics Reference Online, 10.1002/9781118445112, (2014).
  • Axiomatic Measures of Risk and Risk‐Value Models, Wiley StatsRef: Statistics Reference Online, 10.1002/9781118445112, (2014).
  • Risk Measurement, Engineering Risk and Finance, 10.1007/978-1-4614-6234-7_6, (195-221), (2013).
  • Risk Measures from Risk-Reducing Experiments, Decision Analysis, 10.1287/deca.1120.0232, 9, 2, (96-102), (2012).
  • Forecasting the performance of hedge fund styles, Journal of Banking & Finance, 10.1016/j.jbankfin.2012.04.016, 36, 8, (2351-2365), (2012).
  • Taxable Income Properties, Predictability of Book Income, and Firm Risk, SSRN Electronic Journal, 10.2139/ssrn.2226498, (2012).
  • Forecasting the Performance of Hedge Fund Styles, SSRN Electronic Journal, 10.2139/ssrn.1932225, (2012).
  • ENDOGENOUS ENDOWMENTS AND CAPITAL ASSET PRICES, The Journal of Finance, 10.1111/j.1540-6261.1975.tb03167.x, 30, 1, (155-162), (2012).
  • Control of investment portfolio based on complex quantile risk measures, Journal of Computer and Systems Sciences International, 10.1134/S1064230711010084, 50, 1, (174-180), (2011).
  • Axiomatic Measures of Risk and Risk‐Value Models, Wiley Encyclopedia of Operations Research and Management Science, 10.1002/9780470400531, (2010).
  • Internal performance evaluation: the case of bank branches, International Journal of Service Industry Management, 10.1108/09564230810874995, 19, 3, (302-324), (2008).
  • Axiomatic Measures of Risk and Risk‐Value Models, Encyclopedia of Quantitative Risk Analysis and Assessment, 10.1002/9780470061596, (2008).
  • OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES, Mathematical Finance, 10.1111/j.1467-9965.2007.00335.x, 18, 2, (317-331), (2008).
  • Value creation with Dye’s disclosure option: optimal risk-shielding with an upper tailed disclosure strategy, Review of Quantitative Finance and Accounting, 10.1007/s11156-007-0057-4, 31, 1, (1-27), (2007).
  • Capacity Investment Planning for Multiple Vaccines Under Uncertainty, Food and Bioproducts Processing, 10.1205/fbp06002, 85, 2, (129-140), (2007).
  • Managerial Risk Accounting and Control - A German Perspective, SSRN Electronic Journal, 10.2139/ssrn.1117205, (2007).
  • A Note on Skewness Seeking: An Experimental Analysis, SSRN Electronic Journal, 10.2139/ssrn.1026602, (2007).
  • PORTFOLIO BEHAVIOUR AND ASSET PRICING IN A CHARACTERISTICS FRAMEWORK, Scottish Journal of Political Economy, 10.1111/j.1467-9485.1990.tb00592.x, 37, 4, (343-359), (2007).
  • Optimal Control of Favorable Games with Expected Loss Constraint, SIAM Journal on Control and Optimization, 10.1137/050623231, 45, 2, (483-495), (2006).
  • The Under and Overestimation of Risk and Other Problems with Risk Measures, SSRN Electronic Journal, 10.2139/ssrn.891644, (2006).
  • New concepts and algorithms for portfolio choice, Applied Stochastic Models and Data Analysis, 10.1002/asm.3150080306, 8, 3, (159-178), (2006).
  • Simulation-based parametric optimization for long-term asset allocation using behavioral utilities, Applied Mathematical Modelling, 10.1016/j.apm.2004.07.011, 29, 4, (309-320), (2005).
  • Downside Risk and Investment Choice, Financial Review, 10.1111/j.1540-6288.1993.tb01363.x, 28, 4, (585-605), (2005).
  • Different risk measures: different portfolio compositions?, Journal of Property Investment & Finance, 10.1108/14635780410569489, 22, 6, (501-511), (2004).
  • Mean‐Variance Analyses, Encyclopedia of Statistical Sciences, 10.1002/0471667196, (2004).
  • Lower partial moments as measures of perceived risk: An experimental study, Journal of Economic Psychology, 10.1016/S0167-4870(00)00004-0, 21, 3, (253-280), (2000).
  • MEASURING ORGANIZATIONAL DOWNSIDE RISK, Strategic Management Journal, 10.1002/(SICI)1097-0266(199611)17:9<671::AID-SMJ838>3.0.CO;2-1, 17, 9, (671-691), (1998).
  • Risk as a primitive: A survey of measures of perceived risk, OR Spektrum, 10.1007/BF01539781, 19, 4, (235-250), (1997).
  • Corporate Risk-Return Relations: Returns Variability Versus Downside Risk, Academy of Management Journal, 10.5465/256632, 39, 1, (91-122), (1996).
  • Prenons-nous assez de risque dans les théories du risque?Do We Take Enough Risk in Risk Theories?, L'Actualité économique, 10.7202/602099ar, 69, 1, (111), (1993).
  • A MULTI-OBJECTIVE DECISION MODEL FOR BANK ASSET/LIABILITY MANAGEMENT, Models and Methods in Multiple Criteria Decision Making, 10.1016/B978-0-08-037938-8.50022-7, (1419-1435), (1989).
  • A multi-objective decision model for bank asset/liability management, Mathematical and Computer Modelling, 10.1016/0895-7177(89)90379-8, 12, 10-11, (1419-1435), (1989).
  • A Decision Model for Bank Asset Liability Management via MCDM, Methodology and Software for Interactive Decision Support, 10.1007/978-3-662-22160-0_32, (255-264), (1989).
  • Recent developments in modelling preferences under risk, OR Spektrum, 10.1007/BF01721094, 9, 3, (129-151), (1987).
  • A Survey of Multiattribute/Multicriterion Evaluation Theories, Multiple Criteria Problem Solving, 10.1007/978-3-642-46368-6_9, (181-224), (1978).

The full text of this article hosted at iucr.org is unavailable due to technical difficulties.