Mean Lower Partial Moment Valuation and Lognormally Distributed Returns

DOI10.1287/mnsc.34.4.446zbMath0638.90008OpenAlexW2062139863MaRDI QIDQ3779952

Wayne Lee, Ramesh K. S. Rao

Publication date: 1988

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.34.4.446

zbMATH Keywords

capital asset pricingoptimal portfolio choiceexpected risky portfolio returnmean lower partial momenttwo-fund portfolio separation

Mathematics Subject Classification ID

Related Items (8)

Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework ⋮ Nonparametric mean-lower partial moment model and enhanced index investment ⋮ Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios ⋮ Mean-semivariance models for fuzzy portfolio selection ⋮ Mathematics turned inside out: the intensive faculty versus the extensive faculty ⋮ A note on a mean-lower partial moment CAPM without risk-free asset ⋮ Variance vs downside risk: Is there really that much difference? ⋮ Risk-value models

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