### 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 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 |

### Keywords

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

## Fingerprint Dive into the research topics of 'Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection: An Empirical Comparison'. Together they form a unique fingerprint.

## 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). Econometrics.