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

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  • Xu, Guo
  • Wing-Keung, Wong
  • Lixing, Zhu

Abstract

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.

Suggested Citation

  • Xu, Guo & Wing-Keung, Wong & Lixing, Zhu, 2013. "Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk," MPRA Paper 51827, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:51827
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    References listed on IDEAS

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    More about this item

    Keywords

    Background risk; Portfolio selection; VaR; CVaR;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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    This paper has been announced in the following NEP Reports:

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