A note on semivariance
In a recent paper (b5Jin, 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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
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2006
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| _version_ | 1797068262218924032 |
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| author | Jin, H Markowitz, H Zhou, X |
| author_facet | Jin, H Markowitz, H Zhou, X |
| author_sort | Jin, H |
| collection | OXFORD |
| description | In a recent paper (b5Jin, 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. © 2006 Blackwell Publishing Inc. |
| first_indexed | 2024-03-06T22:08:11Z |
| format | Journal article |
| id | oxford-uuid:50e2889a-11d1-427a-abf6-a24b9cb14f41 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T22:08:11Z |
| publishDate | 2006 |
| record_format | dspace |
| spelling | oxford-uuid:50e2889a-11d1-427a-abf6-a24b9cb14f412022-03-26T16:16:14ZA note on semivarianceJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:50e2889a-11d1-427a-abf6-a24b9cb14f41EnglishSymplectic Elements at Oxford2006Jin, HMarkowitz, HZhou, XIn a recent paper (b5Jin, 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. © 2006 Blackwell Publishing Inc. |
| spellingShingle | Jin, H Markowitz, H Zhou, X A note on semivariance |
| title | A note on semivariance |
| title_full | A note on semivariance |
| title_fullStr | A note on semivariance |
| title_full_unstemmed | A note on semivariance |
| title_short | A note on semivariance |
| title_sort | note on semivariance |
| work_keys_str_mv | AT jinh anoteonsemivariance AT markowitzh anoteonsemivariance AT zhoux anoteonsemivariance AT jinh noteonsemivariance AT markowitzh noteonsemivariance AT zhoux noteonsemivariance |