chapter  9
14 Pages

■ Mean-Variance versus Mean-VaR and Mean-Utility Spanning

ByLAURENT BODSON, GEORGES HÜBNER

In order to adjust the Markowitz framework, some authors have developed specific risk metrics that take into consideration the higher moments of the return distributions. One interesting measure, proposed by Favre and Galeano (2002), is the modified value-at-risk (MVaR) that corrects the quantile estimate used in the formulation of the Gaussian VaR.