A NOTE ON SEMIVARIANCE

In a recent paper (Jin, Yan, and Zhou 2005), it is proved that efficient strategies of the continuous‐time mean–semivariance portfolio selection model are in general never achieved save for a trivial case. In this note, we show that the mean–semivariance efficient strategies in a single period are a...

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Bibliographic Details
Published in:Mathematical finance 2006-01, Vol.16 (1), p.53-61
Main Authors: Jin, Hanqing, Markowitz, Harry, Yu Zhou, Xun
Format: Article
Language:English
Subjects:
below-mean
below-target
coercivity
downside risk
Econometric models
Financial economics
Mathematical economics
Portfolio management
Securities
semivariance
single period
Studies
Variance
Variance analysis
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Summary:In a recent paper (Jin, Yan, and Zhou 2005), it is proved that efficient strategies of the continuous‐time mean–semivariance portfolio selection model are in general never achieved save for a trivial case. In this note, we show that the mean–semivariance efficient strategies in a single period are always attained irrespective of the market condition or the security return distribution. Further, for the below‐target semivariance model the attainability is established under the arbitrage‐free condition. Finally, we extend the results to problems with general downside risk measures.
ISSN:0960-1627
1467-9965
DOI:10.1111/j.1467-9965.2006.00260.x