Brandouy, Olivier; Kerstens, Kristiaan; Van de … - Faculteit Economie en Bedrijfswetenschappen, … - 2009
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...