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• W2073642994 abstract "We study portfolio selection under Conditional Value-at-Risk and, as its natural extension, spectral risk measures, and compare it with traditional mean–variance analysis. Unlike the previous literature that considers an investor’s mean-spectral risk preferences for the choice of optimal portfolios only implicitly, we explicitly model these preferences in the form of a so-called spectral utility function. Within this more general framework, spectral risk measures tend towards corner solutions. If a risk free asset exists, diversification is never optimal. Similarly, without a risk free asset, only limited diversification is obtained. The reason is that spectral risk measures are based on a regulatory concept of diversification that differs fundamentally from the reward-risk tradeoff underlying the mean–variance framework." @default.
• W2073642994 created "2016-06-24" @default.
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• W2073642994 date "2013-12-01" @default.
• W2073642994 modified "2023-09-30" @default.
• W2073642994 title "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis" @default.
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• W2073642994 doi "https://doi.org/10.1016/j.jbankfin.2013.02.009" @default.
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