Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 51827.
Date of creation: 01 Dec 2013
Date of revision:
Background risk; Portfolio selection; VaR; CVaR;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
- NEP-RMG-2013-12-29 (Risk Management)
- NEP-UPT-2013-12-29 (Utility Models & Prospect Theory)
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