The role of lower partial moments in stochastic modeling
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Volume (Year): LXVI (2008)
Issue (Month): 2 ()
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- Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
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- 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.
- 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.
- 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.
- Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
- Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
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