Portfolio Optimisation with Semivariance

In this talk, I shall study dynamic portfolio management using semivariance as a portfolio risk measure. In the literature, mean-semivariance optimisation under the Black-Scholes model has been shown to be no optimal solution.... [ view full abstract ]

In this talk, I shall study dynamic portfolio management using semivariance as a portfolio risk measure. In the literature, mean-semivariance optimisation under the Black-Scholes model has been shown to be no optimal solution. Inspired by this non-existence result, I shall establish necessary and sufficient conditions under which the mean-semivariance optimisation possesses an optimal solution. I shall suggest the models under which such sufficient conditions are satisfied. Besides, I shall establish that utility-semivariance optimisation possesses an optimal solution even under the Black-Scholes model. I will conclude this talk by investigating the extension to general downside deviation risk measures.