This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier in the presence of background risk. We also consider the case with a risk-free security
Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropri...
This paper proposes a model for portfolio optimisation, in which distributions are characterised and...
Estimating the effect of background risk on individual financial choices faces two challenges. Es...
This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-Va...
This paper investigates the impact of multiplicative background risk on an investor's portfolio choi...
Everybody heard already that one should not expect high returns without high risk, or one should not...
The thesis mainly deals with a comparison of two methods that could be used in portfolio optimizatio...
This paper studies the impact of background risk on the indifference curve. We first study the shape...
The aim of this research is to apply the variance and conditional value-at-risk (CVaR) as risk measu...
In this thesis, we take the mean-risk approach to portfolio optimi- zation. We will first define ris...
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Which characteristics of a portfolio are important, how can we select an optimal portfolio and which...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropr...
Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropri...
This paper proposes a model for portfolio optimisation, in which distributions are characterised and...
Estimating the effect of background risk on individual financial choices faces two challenges. Es...
This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-Va...
This paper investigates the impact of multiplicative background risk on an investor's portfolio choi...
Everybody heard already that one should not expect high returns without high risk, or one should not...
The thesis mainly deals with a comparison of two methods that could be used in portfolio optimizatio...
This paper studies the impact of background risk on the indifference curve. We first study the shape...
The aim of this research is to apply the variance and conditional value-at-risk (CVaR) as risk measu...
In this thesis, we take the mean-risk approach to portfolio optimi- zation. We will first define ris...
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk...
The aim of this research is to apply the variance and conditional value at risk (CVaR) as risk measu...
Which characteristics of a portfolio are important, how can we select an optimal portfolio and which...
Optimal portfolio selection has been an area of great focus ever since the inception of modern portf...
Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropr...
Ackert and Deaves (2010) said that most people have tendency to being risk averse, but with appropri...
This paper proposes a model for portfolio optimisation, in which distributions are characterised and...
Estimating the effect of background risk on individual financial choices faces two challenges. Es...
Add to ORKG