Tee, K.-H. (2009) The Effect of Downside Risk Reduction on UK Equity Portfolios Included with Managed Futures Funds. International Review of Financial Analysis, 18, 303-310.
http://dx.doi.org/10.1016/j.irfa.2009.09.007

has been cited by the following article:

• TITLE: Predicting Risk/Return Performance Using Upper Partial Moment/Lower Partial Moment Metrics

  AUTHORS: Fred Viole, David Nawrocki

  KEYWORDS: Partial Moments, Asymmetric Nonlinear Utility, Entropy, Non-Stationary Benchmark

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.5, November 24, 2016

  ABSTRACT: Minimizing the classical definition of risk should be a counterintuitive venture as the explanatory nature of historical metrics’ construction challenges their ability to serve a predictive purpose on a non-stationary process. We uncover an ill-conceived bias in these metrics and discover that they provide a contrary indication to an investment’s survivability. The breakdown in the explanatory-predictive link is troubling and we aim to correct this via a better derived explanatory metric. The predictive variant of our metric will directly question the notion of optimization in order to serve the first priority of any continuous system, survival.