lpm: calculate a lower partial moment for a time series

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

Caclulate a Lower Partial Moment around the mean or a specified threshold.

Usage

lpm(R, n = 2, threshold = 0, about_mean = FALSE)

Arguments

R	xts data
n	the n-th moment to return
threshold	threshold can be the mean or any point as desired
about_mean	TRUE/FALSE calculate LPM about the mean under the threshold or use the threshold to calculate the LPM around (if FALSE)

Details

Lower partial moments capture negative deviation from a reference point. That reference point may be the mean, or some specified threshold that has other meaning for the investor.

Author(s)

Kyle Balkissoon [e-mail]

References

Huffman S.P. & Moll C.R., "The impact of Asymmetry on Expected Stock Returns: An Investigation of Alternative Risk Measures", Algorithmic Finance 1, 2011 p. 79-93

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.