Post-Modern Portfolio Theory (PMPT) extends the traditional mean/variance risk-return framework to incorporate downside risk and asymmetrical return distributions.  While PMPT is now commonly used for portfolio optimization, it has not been extensively applied to performance measuremnt.  They also provide a primer on PMPT and present relevant research and case studies that address many of the criticisms and misconceptions that have arisen with regard to PMPT.

Using Post-Modern Portfolio Theory to Improve Investment Performance Measurement.