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.

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Year of publication:	2009-09
Authors:	Brandouy, Olivier ; Kerstens, Kristiaan ; Van de Woestyne, Ignace
Institutions:	Faculteit Economie en Bedrijfswetenschappen, Hogeschool-Universiteit Brussel (HUBrussel)
Subject:	lower partial moments \| efficient frontier \| mean-variance-skewness efficiency \| semi-variance \| semi-skewness

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2009/29 21 pages longpage
Classification:	F59 - International Relations and International Political Economy: Other ; L16 - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure; Industrial Price Indices ; L22 - Firm Organization and Market Structure: Markets vs. Hierarchies; Vertical Integration ; N44 - Europe: 1913-
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010618370