Munich Personal RePEc Archive

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

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.

[img]
Preview
PDF
MPRA_paper_51827.pdf

Download (75kB) | Preview

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.