Post-Modern Portfolio Theory Comes of Age

A review of credibilistic portfolio selection

“…Empirical evidences (Fama 1965;Arditti 1971;Simkowitz and Beedles 1978;Chunhachinda et al 1997) show that there do exist cases that security returns are not symmetrically distributed. Studies (Rom and Ferguson 1994;Unser 2000) reported that people were strongly in favor of downside risk measure which only gauges the negative deviations from a reference return level as the measure of investment risk. Therefore, Huang (2008a) defined semivariance of fuzzy variables measuring only the lower deviation from the expected return, and proposed that the semivariance of portfolio return be an alternative measure of investment risk.…”

Cross-listing effect of U.S. casino companies: Risk-adjusted performances

“…While the MPT treats equally both upside and downside deviations as risks, the Post Modern Portfolio Theory (PMPT) asserts a distinction between upside volatility and downside volatility, because volatility above a target may represent "uncertainty," rather than "risk." In addition, conventional thinking maintains that individuals have greater concern for loss than gain (Rom and Ferguson, 1994).…”

Mean-semivariance models for fuzzy portfolio selection

“…Experimental study [47] showed that people were strongly in favor of downside risk measure as the measure of investment risk. Rom and Ferguson [42] also reported that the downside risk concept enjoys an increasing popularity.…”

“…There are many forms of downside risk measure, such as the famous one introduced in [43] in the safety first criterion and those proposed in [3,8,12,17,21,30,41,42]. Semivariance is one of the best-known downside risk measures.…”