Xu, Guo and Wing-Keung, Wong and Lixing, Zhu (2013): Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk.
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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.
Item Type: | MPRA Paper |
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Original Title: | Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk |
Language: | English |
Keywords: | Background risk; Portfolio selection; VaR; CVaR |
Subjects: | C - Mathematical and Quantitative Methods > C0 - General > C00 - General G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions |
Item ID: | 51827 |
Depositing User: | Wing-Keung Wong |
Date Deposited: | 21 Dec 2013 09:21 |
Last Modified: | 05 Oct 2019 16:36 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/51827 |