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Mean-Lower Partial Moment Asset Pricing Model: Some Empirical Evidence

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  • Nantell, Timothy J.
  • Price, Kelly
  • Price, Barbara

Abstract

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.

Suggested Citation

  • Nantell, Timothy J. & Price, Kelly & Price, Barbara, 1982. "Mean-Lower Partial Moment Asset Pricing Model: Some Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(5), pages 763-782, December.
    • Handle: RePEc:cup:jfinqa:v:17:y:1982:i:05:p:763-782_01
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    Cited by:

    1. Atwood, Joseph A. & Watts, Myles J. & Helmers, Glenn A. & Held, Larry J., 1988. "Incorporating Safety-First Constraints In Linear Programming Production Models," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(1), pages 1-8, July.
    2. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.

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