calculate a lower partial moment for a time series

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Description

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

Usage

1
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 kylebalkisoon@gmail.com

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

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