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The role of lower partial moments in stochastic modeling

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  • 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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    File URL: https://www.dss.uniroma1.it/RePec/mtn/articoli/2008-2-6.pdf
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    References listed on IDEAS

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    1. 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.
    2. Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
    3. Sen, Amartya K, 1976. "Poverty: An Ordinal Approach to Measurement," Econometrica, Econometric Society, vol. 44(2), pages 219-231, March.
    4. 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.
    5. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    6. 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.
    7. Saralees Nadarajah & Samuel Kotz, 2003. "Reliability for Pareto models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 191-204.
    8. Jan Dhaene & Mark Goovaerts & Rob Kaas, 2003. "Economic Capital Allocation Derived from Risk Measures," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(2), pages 44-56.
    9. 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.
    10. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    11. Lien, Donald & Tse, Yiu Kuen, 2001. "Hedging downside risk: futures vs. options," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 159-169.
    12. 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.
    13. William J. Reed, 2006. "A parametric model for income and other size distributions and some extensions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 93-106.
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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. Chanchal Kundu & Kshirod Sarkar, 2017. "Characterizations based on higher order and partial moments of inactivity time," Statistical Papers, Springer, vol. 58(3), pages 607-626, September.
    3. S. M. Sunoj & N. Vipin, 2019. "Some properties of conditional partial moments in the context of stochastic modelling," Statistical Papers, Springer, vol. 60(6), pages 1971-1999, December.
    4. Christian Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono, 2012. "Dominances on fuzzy variables based on credibility measure," Working Papers hal-00796215, HAL.
    5. Christian Deffo Tassak & Louis Aimé Fono & Jules Sadefo-Kamdem, 2019. "Fuzzy lower partial moment and Mean-risk Dominance: An application for poverty Measurement," Working Papers hal-02433422, HAL.

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