standard mean-variance preferences and motivates new Sharpe ratios and Jensen’s alphas. We revisit the testable implications of …

empirical application for data from US stocks. We show that mean- variance strategies are stochastically dominated by meanrisk …

normality assumption underlying the classical Markowitz mean-variance portfolio optimization model and consider the … consider rival discrete estimates for the mean, variance, skewness and kurtosis of asset returns. A robust optimization …

contract specifications and in regulatory regimes. Mean-variance analysis is conducted to determine annuity choices of …

In most finance papers and textbooks mean-variance preferences are usually introduced and motivated as a special case … case, the specific functional form of mean-variance preferences follows naturally. In the second case, the only specific … mean-variance preferences is derived for the much more realistic example of lognormally distributed assets, and constant …

the out-ofsample performance of traditional Mean-Variance optimization by Markowitz (1952) with Michaud's resampled …