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Mean-Lower Partial Moment Asset Pricing Model: Some Empirical Evidence

Published online by Cambridge University Press:  06 April 2009

Timothy J. Nantell ,
Kelly Price  and
Barbara Price
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Extract

Bawa [3] has argued that mean-lower partial moment portfolio selection rules are more general than mean-variance rules in that they rely on fewer restrictive assumptions regarding investor utility functions and/or distributions of security returns. As with the mean-variance model, it is possible to formulate equilibrium security prices under the assumption that expected utility-maximizing investors utilize mean-lower partial moment portfolio selection rules. This paper has investigated the empirical relationship between the resultant mean-lower partial moment pricing model and the long established mean-variance pricing model.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 5 , December 1982 , pp. 763 - 782
Copyright
Copyright © School of Business Administration, University of Washington 1982

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