The Solution
If we solve the model using each of the three risk measures in the objective, we get the following three solutions:
|
Variance |
Semi-variance |
Downside Risk |
ATT |
.530 |
.575 |
.511 |
GMT |
.357 |
.039 |
.489 |
USX |
.113 |
.386 |
.000 |
The fraction of the portfolio devoted to ATT is fairly consistent. However, the fractions of GMT and USX can vary significantly when the risk measure changes.