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Exploring bi-criteria versus multi-dimensional lower partial moment portfolio models

Author

Listed:
  • O. Brandouy
  • K. Kerstens

    (UMR CNRS 8179 - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • I. van de Woestyne

Abstract

This 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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • O. Brandouy & K. Kerstens & I. van de Woestyne, 2010. "Exploring bi-criteria versus multi-dimensional lower partial moment portfolio models," Post-Print halshs-00558022, HAL.
    • Handle: RePEc:hal:journl:halshs-00558022
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    More about this item

    Keywords

    Lower partial moments; efficient frontier; mean-variance-skewness efficiency; semi-variance; semi-skewness;
    All these keywords.

    JEL classification:

    • F59 - International Economics - - International Relations, National Security, 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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