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

Olivier Brandouy (olivier.brandouy@u-bordeaux.fr), Kristiaan Kerstens and Ignace Van de Woestyne (ignace.vandewoestyne@hubrussel.be)
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Ignace Van de Woestyne: Hogeschool-Universiteit Brussel (HUB), Belgium

No 2009/29, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

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.

Keywords: lower partial moments; efficient frontier; mean-variance-skewness efficiency; semi-variance; semi-skewness (search for similar items in EconPapers)
JEL-codes: F59 L16 L22 N44 (search for similar items in EconPapers)
Pages: 21 page
Date: 2009-09
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Related works:
Working Paper: Exploring bi-criteria versus multi-dimensional lower partial moment portfolio models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hub:wpecon:200929

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