Econometric Tools for Performance and Risk Analysis

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

1 |

`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) |

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.

Kyle Balkissoon kylebalkisoon@gmail.com

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

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