lpm: calculate a lower partial moment for a time series
Description
Caclulate a Lower Partial Moment around the mean or a specified threshold.
Usage
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.
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