| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089863 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠A bridge is built between partial moment models and the modern kernel framework. ⺠A generalized kernel involving powered min and max functions is developed. ⺠The partial-moment analogue to the Black-CAPM is derived, completing a parallelism. ⺠Another model involving upper and lower partial-moments is developed.
Keywords
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sean A. Anthonisz,