A Note on Semivariance
9 Pages Posted: 21 Jun 2006
Abstract
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.
Suggested Citation: Suggested Citation
Jin, Hanqing and Markowitz, Harry and Zhou, Xun Yu, A Note on Semivariance. Mathematical Finance, Vol. 16, No. 1, pp. 53-61, January 2006, Available at SSRN: https://ssrn.com/abstract=910640 or http://dx.doi.org/10.1111/j.1467-9965.2006.00260.x
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.