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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.

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

    1. 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.
    2. 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.
    3. repec:bbe:wpaper:200203 is not listed on IDEAS
    4. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
    5. Cornes,Richard, 1992. "Duality and Modern Economics," Cambridge Books, Cambridge University Press, number 9780521336017, March.
    6. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
    7. Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2001. "Single Period Markowitz Portfolio Selection, Performance Gading and Duality: A Variation on Luenberger'a Shortage Function," Working Papers 0203, Departament Empresa, Universitat Autònoma de Barcelona, revised Apr 2002.
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    More about this item


    lower partial moments; efficient frontier; mean-variance-skewness efficiency; semi-variance; semi-skewness;

    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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