from Wiktionary, Creative Commons Attribution/Share-Alike License
- n. A measure of the dispersion of those values that fall below the mean or target value of a data set
Sorry, no etymologies found.
The neutrality of the wikipedia article on semivariance is disputed!
One of the popular tickets today is called semivariance.
A plot of the semivariance versus h is the variogram.
This mean squared difference is the semivariance and is assigned to the value h, which is known as the lag.
You might recall we used semivariance in all our contrarian tests of down markets.
However, although I think semivariance is a better measure than volatility, I am not happy with it as the basic definition of risk, because it still states that investors assume risk is price volatility alone.
Regardless of which value benchmark we tried, each contrarian portfolio passed the semivariance test by outperforming the market in down quarters.
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