Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models
AbstractThis contribution explores how multi-dimensional lower partial moment portfolio models are different from their bi-criteria counterparts. In particular, the mean semivariance and semi-skewness model that seems little used in practice is contrasted to the rather popular mean semi-variance and mean semi-skewness models. The difference between these models is illustrated via a geometric reconstruction of the multidimensional efficient portfolio choice set.
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Bibliographic InfoPaper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2009/29.
Length: 21 page
Date of creation: Sep 2009
Date of revision:
lower partial moments; efficient frontier; mean-variance-skewness efficiency; semi-variance; semi-skewness;
Find related papers by JEL classification:
- F59 - International Economics - - International Relations and International Political Economy - - - Other
- L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure
- L22 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Organization and Market Structure
- N44 - Economic History - - Government, War, Law, International Relations, and Regulation - - - Europe: 1913-
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