Harlow, W. V.; Rao, Ramesh K. S. - In: Journal of Financial and Quantitative Analysis 24 (1989) 03, pp. 285-311
A new asset pricing model that generalizes earlier results in the downside risk literature is developed and empirically tested using a multivariate approach. By specifying risk as deviations below <italic>any</italic> arbitrary target rate of return, the generalized Mean-Lower Partial Moment (MLPM) model...