### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 53 |

Volume | 2005-100 |

Publication status | Published - 2005 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2005-100 |

### Fingerprint

### Keywords

- portfolio choice
- mean variance
- mean coherent risk
- comparison

### Cite this

*Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison*. (CentER Discussion Paper; Vol. 2005-100). Tilburg: Econometrics.

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

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

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

T2 - An Empirical Comparison

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

ER -