Fortin, Ines; Hlouskova, Jaroslava - 2010
traditional optimal mean-variance (MV) and conditional value-at-risk (CVaR) portfolios. First we derive conditions under which the … LA problem is equivalent to the MV and CVaR problems. Then we analytically solve the twoasset problem, where one asset is … outperform MV and CVaR portfolios. -- loss aversion ; portfolio optimization ; MV and CVaR portfolios ; copula ; investment …