Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-52022
Giorgi, Enrico De (2002). A Note on Portfolio Selections under Various Risk Measures. Working paper series / Institute for Empirical Research in Economics No. 122, University of Zurich.
This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio selection problem under these measures. We show that under the assumption that returns are normally distributed, the efficient frontiers obtained by taking value-at-risk or expected-shortfall are subsets of the mean-variance efficient frontier. We generalize this result for all risk measures that can be written as a particular combination of mean and variance and we show that for these measures Tobin separation holds under some restrictions.
|Item Type:||Working Paper|
|Communities & Collections:||03 Faculty of Economics > Department of Economics|
Working Paper Series > Institute for Empirical Research in Economics (former)
|Deposited On:||29 Nov 2011 21:26|
|Last Modified:||09 Jul 2012 05:02|
|Series Name:||Working paper series / Institute for Empirical Research in Economics|
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