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

  • 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)

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.

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File URL: https://lirias.hubrussel.be/bitstream/123456789/2805/1/09HRP29.pdf
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Paper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2009/29.

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Length: 21 page
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:hub:wpecon:200929
Contact details of provider: Web page: http://research.hubrussel.be

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  1. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  2. Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Working Papers 2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  3. Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2002. "Single Period Markowitz Portfolio Selection, Performance Gauging and Duality: A Variation on Luenberger’s Shortage Function," Working Paper 200203, Department of Business Economics, Universitat Autonoma de Barcelona.
  4. Galagedera, Don U.A., 2007. "An alternative perspective on the relationship between downside beta and CAPM beta," Emerging Markets Review, Elsevier, vol. 8(1), pages 4-19, March.
  5. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
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