Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results
分析并实证检验了低阶部分矩与方差两种系统风险度量在收益率服从对数正态分布时的系统性差异，对研究风险度量的学者和从业者有参考价值。
ABSTRACT As a measure of systematic risk, the lower partial moment measure requires fewer restrictive assumptions than does the variance measure. However, the latter enjoys far wider usage than the former, perhaps because of its familiarity and the fact that two measures of systematic risk are equivalent when return distributions are normal. This paper shows analytically that there are systematic differences in the two risk measures when return distributions are lognormal. Results of empirical tests show that there are indeed systematic differences in measured values of the two risk measures for securities with above average and with below average systematic risk.