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Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models

Author

Listed:
  • Brandouy, Olivier

    (IAE, University of Lille 1, F-59043, Lille Cdex, France)

  • Kerstens, Kristiaan

    (IESEG School of Management, F-59000 Lille, France)

  • Van de Woestyne, Ignace

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

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.

Suggested Citation

  • Brandouy, Olivier & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2009. "Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models," Working Papers 2009/29, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    • Handle: RePEc:hub:wpecon:200929
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    References listed on IDEAS

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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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