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I cannot imagine that you win the contest by choosing the optimal meanvariance tradeoff.
Masonomics Watch, Arnold Kling  EconLog  Library of Economics and Liberty

Estimation of portfoliobalance functions that are meanvariance 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 meanvariance 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 twodimensional problem  known as meanvariance analysis.

The statistical model can incorporate proper distributional properties of each data such as meanvariance relationship simply by selecting an appropriate likelihood for each data type.

This is accomplished using optimization methods within a meanvariance framework.

Optimization can be performed using simple Markowitz style meanvariance optimization.

Crosssectionally, expected returns deviate from the CAPM even if investors attempt to hold meanvariance efficient portfolios, and these deviations can be predictable based on past dividends and prices.

I suspect your recent meanvariance experiences  despite having read Taleb  is causing you to be optimistic on earnings as well.

Investors all all meanvariance optimizers, what implies the use of the Portfolio Theory.
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