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 portfolio of 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 meanvariance framework.For portfolios of common stocks the outcomes of the spanning tests seem to be statistically the same.