International Journal of Economics, Finance and Management Sciences

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Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach

Received: 16 February 2014    Accepted: 25 April 2014    Published: 05 December 2014
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Abstract

This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.

DOI 10.11648/j.ijefm.20140206.14
Published in International Journal of Economics, Finance and Management Sciences (Volume 2, Issue 6, December 2014)
Page(s) 319-331
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Cash Flow Valuation, Semi-Variance, VaR, AVaR, DCF, Asymmetric Information, Stochastic Dominance

References
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Author Information
  • Ono Academic College-Ono, Israel and Ruppin Academic Center- Hemek Hefer, Israel

  • Ono Academic College-Ono, Israel

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  • APA Style

    Yoram Kroll, Moshe Ben-Horin. (2014). Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. International Journal of Economics, Finance and Management Sciences, 2(6), 319-331. https://doi.org/10.11648/j.ijefm.20140206.14

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    ACS Style

    Yoram Kroll; Moshe Ben-Horin. Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. Int. J. Econ. Finance Manag. Sci. 2014, 2(6), 319-331. doi: 10.11648/j.ijefm.20140206.14

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    AMA Style

    Yoram Kroll, Moshe Ben-Horin. Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach. Int J Econ Finance Manag Sci. 2014;2(6):319-331. doi: 10.11648/j.ijefm.20140206.14

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  • @article{10.11648/j.ijefm.20140206.14,
      author = {Yoram Kroll and Moshe Ben-Horin},
      title = {Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach},
      journal = {International Journal of Economics, Finance and Management Sciences},
      volume = {2},
      number = {6},
      pages = {319-331},
      doi = {10.11648/j.ijefm.20140206.14},
      url = {https://doi.org/10.11648/j.ijefm.20140206.14},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ijefm.20140206.14},
      abstract = {This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.},
     year = {2014}
    }
    

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    T1  - Valuation, Downside Risk Measures and Asymmetric Information: A Portfolio Optimization Approach
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    AU  - Moshe Ben-Horin
    Y1  - 2014/12/05
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    JF  - International Journal of Economics, Finance and Management Sciences
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    AB  - This paper proposed optimal equilibrium portfolio algorithm for valuing assets. When mean variance criterion is assumed, the proposed procedure and the conventional CAPM yield identical valuations. When a downside risk measures are employed and the distributions are asymmetric, the proposed algorithm and the three moments extensions of CAPM may yield close, but not necessarily identical, valuations. Our semi-variance results are identical to those of Bawa& Lindenberg, but in contrast to those of Estrada's downside risk extension of CAPM. The impact on valuation of "Mean Variance Preserving Shifts" and asymmetrical information regarding future cash flows are demonstrated by the proposed model.
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