Coherent risk measures have received considerable attention in the recent literature. Coherent regular risk measures form an important subclass: they are empirically identifiable, and, when combined with mean return, they are consistent with second order stochastic dominance. As a consequence,...

We empirically analyze the implementation of coherent risk measures in portfolio selection. First, we compare optimal portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios. We find that, even for a typical portfolio of equities, the outcomes can...