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The role of lower partial moments in stochastic modeling


  • S. M. Sunoj
  • S. S. Maya


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  • S. M. Sunoj & S. S. Maya, 2008. "The role of lower partial moments in stochastic modeling," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 223-242.
  • Handle: RePEc:mtn:ancoec:080206

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    References listed on IDEAS

    1. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
    2. Wayne Y. Lee & Ramesh K. S. Rao, 1988. "Mean Lower Partial Moment Valuation and Lognormally Distributed Returns," Management Science, INFORMS, vol. 34(4), pages 446-453, April.
    3. Breitmeyer, Carsten & Hakenes, Hendrik & Pfingsten, Andreas, 2004. "From poverty measurement to the measurement of downside risk," Mathematical Social Sciences, Elsevier, vol. 47(3), pages 327-348, May.
    4. Sreenarayanapurath Madhavan Sunoj, 2004. "Characterizations of some continuous distributions using partial moments," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 353-362.
    5. Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
    6. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    7. Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
    8. Sen, Amartya K, 1976. "Poverty: An Ordinal Approach to Measurement," Econometrica, Econometric Society, vol. 44(2), pages 219-231, March.
    9. Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. " Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-855, June.
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    Cited by:

    1. Mahdy, Mervat, 2016. "Further results related to variance past lifetime class & associated orderings and their properties," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1148-1160.
    2. Christian Tassak & Jules Sadefo Kamdem & Louis Aimé Fono, 2012. "Dominances on fuzzy variables based on credibility measure," Working Papers hal-00796215, HAL.

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