Abstract:This article empirically test the lower partial moments models, Sortino,
Upside Potential Ratio, Omega and Kappa, comparing them with the traditional
CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes
of models are distinguished in terms of investors' profile assumptions and
risk measurement. While the CAPM considers only the first two moments of the
returns distributi… Show more
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