Caclulate a Lower Partial Moment around the mean or a specified threshold.
lpm(
R,
n = 2,
threshold = 0,
about_mean = FALSE,
SE = FALSE,
SE.control = NULL,
...
)xts data
the n-th moment to return
threshold can be the mean or any point as desired
TRUE/FALSE calculate LPM about the mean under the threshold or use the threshold to calculate the LPM around (if FALSE)
TRUE/FALSE whether to ouput the standard errors of the estimates of the risk measures, default FALSE.
Control parameters for the computation of standard errors. Should be done using the RPESE.control function.
Additional parameters.
Kyle Balkissoon kylebalkisoon@gmail.com
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.
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