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.