ABSTRACT
One of the hottest points in applied finance is portfolio selection which is to select a combination of securities that can best meet the investor’s goal. The first mathematical model was proposed by Markowitz [1], in which expected return and variance were used to describe investment return and risk, respectively. However, the mean-variance model has limited generality since variance considers high returns as equally undesirable as low returns. Thus, Markowitz proposed semivariance as an improved measure of risk.
