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Google圖書搜尋
Mean-coherent Risk and Mean-variance Approaches in Portfolio Selection
Simon Polbennikov
Bertrand Melenberg
其他書名
An Empirical Comparison
出版
Center for Economic Research
, 2005
URL
http://books.google.com.hk/books?id=6qRMkgEACAAJ&hl=&source=gbs_api
註釋
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 mean-variance framework. For portfolios of common stocks the outcomes of the spanning tests seem to be statistically the same.
