Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universität München] introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation...

We first study mean–variance efficient portfolios when there are no trading constraints and show that optimal strategies perform poorly in bear markets. We then assume that investors use a stochastic benchmark (linked to the market) as a reference portfolio. We derive mean–variance efficient...