In moments of financial distress downside risk measures like lower partial moments are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to choose optimal portfolios in these periods. In order to do this we extend the definition of lower...

In moments of distress downside risk measures like Lower Partial Moments (LPM) are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to compare portfolios in these situations. In order to do that we show the close connection between...

Three approaches are commonly used for analyzing decisions under uncertainty: expected utility (EU), second-degree stochastic dominance (SSD), and mean-risk (MR) models, with the mean–standard deviation (MS) being the best-known MR model. Because MR models generally lead to different efficient...

This paper introduces a new approach for measuring vulnerability to poverty, using the standard downside mean-semideviation as a risk parameter. We identify vulnerability by comparing the uncertain outcomes of household well-being with poverty line in a mean-risk behavior framework.