Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk

This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier in the presence of background risk. We also consider the case with a risk-free security.

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Year of publication:	2013-12-01
Authors:	Xu, Guo ; Wing-Keung, Wong ; Lixing, Zhu
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Background risk \| Portfolio selection \| VaR \| CVaR

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C00 - Mathematical and Quantitative Methods. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011258298