Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection

An Empirical Comparison

S.Y. Polbennikov, B. Melenberg

Research output: Working paperDiscussion paperOther research output

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Abstract

We empirically analyze the implementation of coherent risk measures in portfolio selection.First, we compare optimal portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios.We find that, even for a typical portfolio of equities, the outcomes can be statistically and economically different.Furthermore, we apply spanning tests for the mean-coherent risk efficient frontiers, which we compare to their equivalents in the meanvariance framework.For portfolios of common stocks the outcomes of the spanning tests seem to be statistically the same.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages53
Volume2005-100
Publication statusPublished - 2005

Publication series

NameCentER Discussion Paper
Volume2005-100

Fingerprint

Portfolio selection
Mean-variance
Equity
Coherent measures of risk
Optimal portfolio
Efficient frontier
Mean-variance portfolios

Keywords

  • portfolio choice
  • mean variance
  • mean coherent risk
  • comparison

Cite this

Polbennikov, S. Y., & Melenberg, B. (2005). Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison. (CentER Discussion Paper; Vol. 2005-100). Tilburg: Econometrics.
Polbennikov, S.Y. ; Melenberg, B. / Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison. Tilburg : Econometrics, 2005. (CentER Discussion Paper).
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Polbennikov, SY & Melenberg, B 2005 'Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison' CentER Discussion Paper, vol. 2005-100, Econometrics, Tilburg.

Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison. / Polbennikov, S.Y.; Melenberg, B.

Tilburg : Econometrics, 2005. (CentER Discussion Paper; Vol. 2005-100).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection

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AU - Polbennikov, S.Y.

AU - Melenberg, B.

N1 - Pagination: 53

PY - 2005

Y1 - 2005

N2 - We empirically analyze the implementation of coherent risk measures in portfolio selection.First, we compare optimal portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios.We find that, even for a typical portfolio of equities, the outcomes can be statistically and economically different.Furthermore, we apply spanning tests for the mean-coherent risk efficient frontiers, which we compare to their equivalents in the meanvariance framework.For portfolios of common stocks the outcomes of the spanning tests seem to be statistically the same.

AB - We empirically analyze the implementation of coherent risk measures in portfolio selection.First, we compare optimal portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios.We find that, even for a typical portfolio of equities, the outcomes can be statistically and economically different.Furthermore, we apply spanning tests for the mean-coherent risk efficient frontiers, which we compare to their equivalents in the meanvariance framework.For portfolios of common stocks the outcomes of the spanning tests seem to be statistically the same.

KW - portfolio choice

KW - mean variance

KW - mean coherent risk

KW - comparison

M3 - Discussion paper

VL - 2005-100

T3 - CentER Discussion Paper

BT - Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection

PB - Econometrics

CY - Tilburg

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Polbennikov SY, Melenberg B. Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison. Tilburg: Econometrics. 2005. (CentER Discussion Paper).