León, Ángel; Moreno, Manuel - Departamento de Métodos Cuantitativos y Teoría … - 2015
We derive closed-form expressions for the performance measures(PMs)based on the lower partial moments (LPMs), such as the Farinelli-Tibiletti and Kappa measures, with Gram-Charlier (GC) density for returns. It is verified that the LPMs can be obtained as a linear function on both higher...