We examine two performance measures advocated for asymmetric return distributions: the Sortino ratio—originally introduced by Sortino and Price (Sortino F and Price L 1994 J. Investing 59-65)—and a measure based on power utility introduced in Leland (Leland H 1999 Financial Analysts J....

The statistical properties of various measures of risk were investigated with a view to explaining the reasons for lack of use in finance of risk measures other than the variance, and to see if there is a sensible measure to use for cross-European comparisons. As examples, the semi-variance, the...

Using an extensive range of macroeconomic indicators and a number of two-stage models mixing OLS and a non-parametric approach known as the nearest neighbour algorithm, the authors analyse the potential for improving forecasts of US industry returns over those built by OLS on industry-specific...