Brandtner, Mario - In: Journal of Banking & Finance 37 (2013) 12, pp. 5526-5537
We study portfolio selection under Conditional Value-at-Risk and, as its natural extension, spectral risk measures, and … a so-called spectral utility function. Within this more general framework, spectral risk measures tend towards corner … diversification is obtained. The reason is that spectral risk measures are based on a regulatory concept of diversification that …