Caclulate a Lower Partial Moment around the mean or a specified threshold.
lpm(R, n = 2, threshold = 0, about_mean = FALSE)
| R | xts data |
|---|---|
| n | the n-th moment to return |
| threshold | threshold can be the mean or any point as desired |
| about_mean | TRUE/FALSE calculate LPM about the mean under the threshold or use the threshold to calculate the LPM around (if FALSE) |
Lower partial moments capture negative deviation from a reference point. That reference point may be the mean, or some specified threshold that has other meaning for the investor.
Huffman S.P. & Moll C.R., "The impact of Asymmetry on Expected Stock Returns: An Investigation of Alternative Risk Measures", Algorithmic Finance 1, 2011 p. 79-93