calculate a lower partial moment for a time series
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, ... )
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) |
SE |
TRUE/FALSE whether to ouput the standard errors of the estimates of the risk measures, default FALSE. |
SE.control |
Control parameters for the computation of standard errors. Should be done using the |
... |
Additional parameters. |
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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