Mean-coherent risk and mean-variance approaches in portfolio selection: an empirical comparison
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 portfolioof 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.