We show that the MV, VaR, and CVaR boundaries depend on the covariance vector between the returns of the risky assets and that of the background asset and also the variance of the return of the ...

Gina Bravo, Brenda MacGibbon, Improved Shrinkage Estimators for the Mean Vector of a Scale Mixture of Normals with Unknown Variance, The Canadian Journal of Statistics / La Revue Canadienne de ...