Cumova, Denisa; Nawrocki, David - In: Journal of Economics and Business 71 (2014) C, pp. 68-89
The lower partial moment (LPM) has been the downside risk measure that is most commonly used in portfolio analysis. Its major disadvantage is that its underlying utility functions are linear above some target return. As a result, the upper partial moment (UPM)/lower partial moment (LPM) analysis...