Mean-Lower Partial Moment Asset Pricing Model: Some Empirical Evidence
检验了均值下半偏矩定价模型与经典均值方差模型之间的实证关系，该模型基于更少限制的投资者效用假设。
Bawa [3] has argued that mean-lower partial moment portfolio selection rules are more general than mean-variance rules in that they rely on fewer restrictive assumptions regarding investor utility functions and/or distributions of security returns. As with the mean-variance model, it is possible to formulate equilibrium security prices under the assumption that expected utility-maximizing investors utilize mean-lower partial moment portfolio selection rules. This paper has investigated the empirical relationship between the resultant mean-lower partial moment pricing model and the long established mean-variance pricing model.