A Note on Semivariance

9 Pages Posted: 21 Jun 2006

See all articles by Hanqing Jin

Hanqing Jin

Chinese University of Hong Kong

Harry Markowitz

University of California at San Diego

Xun Yu Zhou

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

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

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

Hanqing Jin (Contact Author)

Chinese University of Hong Kong ( email )

Hong Kong
Hong Kong

Harry Markowitz

University of California at San Diego ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
(858) 534-3383 (Phone)

Xun Yu Zhou

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management ( email )

Shatin, New Territories
Hong Kong
852 2609-8320 (Phone)
852 2603-5505 (Fax)

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