I just bumped into a rather interesting article from wikipedia :
http://en.wikipedia.org/wiki/Downside_risk
where they define the semi-variance also called Downside risk, which bascially only considers the "negative" variation with respect to some set level e.g. mean.
My question is : Is is possible to extend this also for the covariance, in order to obtain something like the covariance matrix ?
Thanks in advance