An increasing number of investors are interested in sustainable, responsible and impact
investment (SRI). However, there is a concern about the possible financial sacrifice …

Composed of articles published in today's leading management publications—including
several that won Journal of Portfolio Management's prestigious Bernstein Fabozzi/Jacobs …

The lower partial moment (LPM) has been the downside risk measure that is most commonly
used in portfolio analysis. Its major disadvantage is that its underlying utility functions are …

In the context of financial crises, the risk measurement is one of the top issues debated by
practitioners and financial research studies. Standard deviation represents a largely used …

Although investors are concerned foremost with mean and variance, they are also sensitive
to downside risk. In this article we employ several risk variables of traditional and downside …

There is little literature considering effects that the loss-gain threshold used for dividing good
and bad outcomes by all downside (upside) risk measures has on portfolio optimization and …

In this paper we apply two methods based on the Post-Modern Portfolio Management
approach to study the risk-adjusted return of 5 major indices from emerging markets in …

This paper examines the relation between market volatility and monthly mutual fund cash
flows. We find that bond fund investors in the period of 1984 through 1998 do not respond to …

In 1994, Larry Siegel and I published an article in this journal in response to an article that
claimed that (1) mean-variance optimization (MVO), a vital part of modern portfolio theory …

Purpose: The paper deals with the comparison of Markowitz and downside risk
portfoliotheories and the practical application of both approaches on the Czech stock …