IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Mean Lower Partial Moment Valuation and Lognormally Distributed Returns

Listed author(s):
  • Wayne Y. Lee

    (Leavey School of Business Administration, Santa Clara University, Santa Clara, California 95053)

  • Ramesh K. S. Rao

    (Graduate School of Business, University of Texas, Austin, Texas 78712)

Registered author(s):

    In this paper we develop a capital asset pricing model in a mean lower partial moment framework. Specifically, we show that when partial moments are computed about the expected risky portfolio return, optimal portfolio choice in a mean lower partial framework permits a two-fund portfolio separation between a riskless asset and a "market" portfolio of risky assets. In this new framework, risk is measured as semideviation (for second degree stochastic dominance), and semivariance (for third degree stochastic dominance). Further, when security returns are lognormally distributed and "small risk," this new mean lower partial moment valuation specializes to the mean-logarithmic variance capital asset pricing model.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 34 (1988)
    Issue (Month): 4 (April)
    Pages: 446-453

    in new window

    Handle: RePEc:inm:ormnsc:v:34:y:1988:i:4:p:446-453
    Contact details of provider: Postal:
    7240 Parkway Drive, Suite 300, Hanover, MD 21076 USA

    Phone: +1-443-757-3500
    Fax: 443-757-3515
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:34:y:1988:i:4:p:446-453. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.