The characteristics of portfolios selected by n-degree lower partial movement.

Empirical research on Lower Partial Moment (LPM) has ignored its portfolio algorithms and the major benefit of such analysis: that its utility function is as general as the utility function assumed by stochastic dominance analysis. Since efficient algorithms for stochastic dominance do not exist, an LPM algorithm may be a viable substitute. This paper is concerned with the composition of portfolios selected by an LPM algorithm, specifically the effect on the characteristics of LPM-selected portfolios whenever the LPM utility function is changed throughout its range.

Main Author: Nawrocki, David.
Language: English
Online Access: http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:178267