In this chapter, we contrast the optimal spanning properties of portfolios built under the traditional mean-variance (VAR) or mean-modified value-at-risk (MVaR) approaches with those created with the linear-exponential (linex) utility function. Unlike asset allocation procedures that build on volatility or MVaR as a measure of risk and a single risk aversion parameter that characterizes investors, the use of linex utility introduces risk differentiation amongst investors and the risk-return relation of the optimal portfolio trades off between mean, variance, skewness and kurtosis. We identify efficient portfolios under the three competing frameworks and analyze their optimal allocations.
Disciplines :
Finance
Auteur, co-auteur :
Bodson, Laurent ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion financière
Hübner, Georges ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Gestion financière
Langue du document :
Anglais
Titre :
Mean-Variance versus Mean-VaR and Mean-Utility Spanning
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