Portfolio theory may be the most fecund intellectual export from quantitative finance to other
sciences. Social sciences outside the strictly financial domain have applied portfolio theory …

Despite the rise of multifactor models emphasizing value and firm size, beta remains the
most explanatory element of the risk premium in most asset pricing models. Designed to …

Modern portfolio theory accords symmetrical treatment to all deviations from expected return,
positive or negative. This assumption is vulnerable on both descriptive and behavioral …

This chapter takes a closer look at the volatility-specific component of beta. Some financial
practitioners have advocated the use of relative volatility, standing alone, as a risk measure …

Despite the rise of multi-factor models emphasizing value, firm size, and momentum, beta
remains the primary measure of risk in asset pricing. Designed to define systematic risk, net …

Having exhausted the descriptive potential of semideviation and other elaborations of partial
statistical moments, I now return to beta as a composite statistic combining relative volatility …