Decision Sciences
4 years ago

Investors Beware: Background Risk Alters Portfolio Selection Strategies!

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MPRA Paper
Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk
Xu Guo, Wong Wing-Keung, Lixing Zhu

Paper Summary

The article explores how background risk affects portfolio choices using different models. It looks at mean-variance, mean-VaR, and mean-CVaR frameworks, analyzing their boundaries and efficient frontiers with background risk. The study also considers scenarios with a risk-free security.

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