Fieberg, Christian; Varmaz, Armin; Poddig, Thorsten - In: The Journal of Risk Finance 20 (2019) 2, pp. 201-222
Purpose: The purpose of this paper is to analyze the implications of the risk versus characteristic debate from the perspective of a mean-variance investor. Design/methodology/approach: Expected returns and the variance-covariance matrix are estimated based on various characteristic and risk...