Mean-semivariance behavior: Downside risk and capital asset pricing

By Javier Estrada. 2007

227 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/19705e2046933b7c6031b5526a235fa7dda73e64

Citations in the corpus

• Mean-Semivariance Optimization: A Heuristic Approach (2007, unknown): “In order to overcome these two drawbacks, Estrada (2002, 2007) defines the semicovariance between assets i and j with respect to a benchmark B (Σ ijB ) as Σ ijB i j it t T R B R B T R B = − ⋅ − = ⋅ − ⋅ = ∑ E{Min( , 0) Min( , 0)} (1/ ) [Min( , 0) M 1 i in( , 0)] R B jt − .”
• Oil prices and transport sector returns: an international analysis (2009, unknown): “Estrada (2002) formulates this idea into a downside CAPM model, the application of which is demonstrated for emerging markets in Estrada and Serra (2005) and for developed markets in Estrada (2007) .”