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“I cannot imagine that you win the contest by choosing the optimal mean-variance trade-off.”
“Estimation of portfolio-balance functions that are mean-variance optimizing: The mark and the dollar (International finance discussion papers/Board of Governors of the Federal Reserve System) by Jeffrey A Frankel”
“Nonetheless, the solutions you get for most problems e.g., allocation across the market asset and a few other portfolios are quantitatively similar whether or not you tech up and use a better utility function and/or modify the return distribution to better accomodate reality, or whether you just use mean-variance allocation.”
“In this way, the complicated and multidimensional problem of portfolio choice with respect to a large number of different assets, each with varying properties, is reduced to a conceptually simple two-dimensional problem - known as mean-variance analysis.”
“The statistical model can incorporate proper distributional properties of each data such as mean-variance relationship simply by selecting an appropriate likelihood for each data type.”
“This is accomplished using optimization methods within a mean-variance framework.”
“Optimization can be performed using simple Markowitz style mean-variance optimization.”
“Cross-sectionally, expected returns deviate from the CAPM even if investors attempt to hold mean-variance efficient portfolios, and these deviations can be predictable based on past dividends and prices.”
“I suspect your recent mean-variance experiences - despite having read Taleb - is causing you to be optimistic on earnings as well.”
“Investors all all mean-variance optimizers, what implies the use of the Portfolio Theory.”
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