Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models
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.
|Date of creation:||Sep 2009|
|Date of revision:|
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- Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007.
"Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach,"
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- Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008.
"Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function,"
2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
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