It has been argued that investors who optimize their portfolios with attention paid only to mean and standard deviation will all end up choosing some multiple of a certain master fund portfolio. Justification for the capital asset pricing model of classical portfolio theory, which relates...

Optimality conditions are derived for problems of minimizing a generalized measure of deviation of a random variable, with special attention to situations where the random variable could be the rate of return from a portfolio of financial instruments. Generalized measures of deviation go beyond...

General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such measures include standard deviation as a special case but need not be symmetric with respect to ups and downs. Their...

Generalized measures of deviation are considered as substitutes for standard deviation in a framework like that of classical portfolio theory for coping with the uncertainty inherent in achieving rates of return beyond the risk-free rate. Such measures, derived for example from conditional...

Generalized measures of deviation, as substitutes for standard deviation, are considered in a framework like that of classical portfolio theory for coping with the uncertainty inherent in achieving rates of return beyond the risk-free rate. Such measures, associated for example with conditional...

A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover can be tuned to the needs of a particular model in finance, or operations research more broadly. Although the idea of...