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

Timothy J. Nantell, Kelly Price and Barbara Price

Journal of Financial and Quantitative Analysis, 1982, vol. 17, issue 5, 763-782

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.

Date: 1982
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