@techreport{0cd9ce8d542e418ebe38fb3981839a22,

title = "Testing for Mean-Coherent Regular Risk Spanning",

abstract = "Coherent risk measures have received considerable attention in the recent literature.Coherent regular risk measures form an important subclass: they are empirically identifiable, and, when combined with mean return, they are consistent with second order stochastic dominance.As a consequence, these risk measures are natural candidates in a mean-risk trade-off portfolio choice.In this paper we develop a mean-coherent regular risk spanning test and related performance measure.The test and the performance measure can be implemented by means of a simple semi-parametric instrumental variable regression, where instruments have a direct link with the stochastic discount factor.We illustrate applications of the spanning test and the performance measure for several coherent regular risk measures, including the well known expected shortfall.",

keywords = "portfolio choice, coherent risk, spanning test",

author = "B. Melenberg and S.Y. Polbennikov",

note = "Pagination: 1",

year = "2005",

language = "English",

volume = "2005-99",

series = "CentER Discussion Paper",

publisher = "Econometrics",

type = "WorkingPaper",

institution = "Econometrics",

}