A symmetric LPM model for heuristic mean–semivariance analysis

While the semivariance (lower partial moment degree 2) has been variously described as being more in line with investors’ attitude towards risk, implementation in a forecasting portfolio management role has been hampered by computational problems. The original formulation by Markowitz (1959) requires a laborious iterative process because the cosemivariance matrix is endogenous and a closed form solution does not exist. There have been attempts...