Portfolio theory with lower partial moments asset pricing and performance analysis

Abstract

In this thesis we use LPM as a measure of risk and then develop the theoretical framework of portfolio management with LPM We present various properties of LPM and discuss their practical importance in the area of investment management We then investigate various important open problems in the mean LPM MLPM portfolio theory Some of the problems remain unsolved nearly three decades later We analytically solve all these problems The second part of the thesis discusses asset pricing theo...