[R-SIG-Finance] semi variance

Brian G. Peterson brian at braverock.com
Thu Dec 28 04:15:21 CET 2006

On Wednesday 27 December 2006 20:09, Krishna Kumar wrote:
> BBands wrote:
> > Has anyone here had any experience with semi variance and its kin
> > outside of VaR?
> >
> >     jab
> Well this gets used in optimization. There is also another performance
> measure the ratio of
> upside variance to downside variance which is popular as well.

I've seen implementations of mean-semivariance optimization using the same 
quadratic methods as Markowitz mean-variance optimization?  I seem to 
recall reading a paper that used a semivariance/semicovariance matrix as 
There's also a generalized semivariance optimization method discussed in 
Chapter 5 of 
Bernd Scherer, R. Douglas Martin
Introduction To Modern Portfolio Optimization With NUOPT And S-PLUS 


   - Brian

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