Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk
Abstract
This paper extends (Jiang et al. in J Bank Finance 34:3055–3060, 2010; Guo in Risk Manag 20(1):77–94, 2018) and others by investigating the impact of background risk on an investor’s portfolio choice in the mean–VaR, mean–CVaR, and mean–variance framework, and analyzes the characterization of the mean–variance, mean–VaR, and mean–CVaR boundaries and efficient frontiers in the presence of background risk. We derive the conditions that the...
Paper Details
Title
Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk
Published Date
Aug 27, 2018
Journal
Volume
21
Issue
2
Pages
73 - 98
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