Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as measures of downside risk. Though supported to some extent with unanimous choices by some specific group...

Multiple Criteria Decision Making or multi-attribute (MCDM) problems refer to performing preference decisions (e.g. ranking, ordering, prioritization, selection) over several available alternatives or objects that are characterized by multiple, usually conflicting, attributes or criteria. MCDM techniques have been and are still being encountered in a wide range of human activities, from the pro...

Traditionally, downside risk aversion is the study of the placement of a pure risk (a secondary risk) on either the upside or the downside of a primary two-state risk. When the decision maker prefers to have the secondary risk placed on the upside rather than the downside of the primary lottery, he is said to display downside risk aversion. The literature on the intensity of downside risk avers...

This article examines the efficiency of five risk measures in the framework of portfolio optimization for the stocks of four China’s stock markets and investigates which risk measure has the best performance in making asset allocation decisions. The data used are the historical monthly stock returns from 1998 to 2002. Although the downside risk measures are thought to be consistent with investo...

The mean-variance framework for portfolio selection should be revised when investor’s concern is the downside risk. This is especially true when the asset returns are not normal. In this paper, we incorporate value-at-risk (VaR) in portfolio selection and the mean-VaR framework is proposed. Due to the twoobjective optimization problem faced by the meanVaR framework, an evolutionary multi-object...

analysis. Variation in risk preference assumpA conceptual link among mean-variance tions are incorporated into a risk function by (EV), stochastic dominance (SD), mean-risk changing r, the Pratt-Arrow risk aversion co(ET), and Gini mean difference (EG) is estabefficient in SD analysis, and oc, the exponent lished for determining risk efficient decision conditioning the degree to which segments ...

Consider the first-order linear delay differential equation x′(t) + p(t)x(τ(t)) = 0, t ≥ t0, and the second-order linear delay equation x′′(t) + p(t)x(τ(t)) = 0, t ≥ t0, where p and τ are continuous functions on [t0,∞), p(t) > 0, τ(t) is nondecreasing, τ(t) ≤ t for t ≥ t0 and limt→∞ τ(t) = ∞. Several oscillation criteria are presented for the first-order equation when