Mean–variance portfolio choice is often criticized as sub-optimal in the more general expected utility framework. It is … of research suggests that mean–variance choice, though arguably sub-optimal, provides very close-to-expected utility … maximizing portfolios and their expected utilities, basing its evaluation on in-sample analysis where mean–variance choice is sub …

This paper presents the mean-variance (MV) model to solve the power system economic dispatch with wind power integrated …

on the attractiveness of investment. We use mean–variance portfolio analysis to identify the risk implications of two … support instruments: feed-in tariffs and feed-in premiums. Using cash flow analysis, Monte Carlo simulations and mean–variance …

for 15 countries. In-sample predictability is corroborated by out-of-sample tests. Using a mean-variance investor …

It is often asserted that the application of mean–variance analysis assumes normal (Gaussian) return distributions or … necessary and sufficient condition for the practical use of mean–variance analysis is that a careful choice from a mean–variance …. This paper reviews a half-century of research on mean–variance approximations to expected utility. The many studies in this …

proxies in the context of a discrete-time version of mean–variance framework, we corroborate the impact of this type of risk …

We consider in this paper the mean–variance formulation in multi-period portfolio selection under no … the wealth process and its implications for market settings. We also generalize our results in the mean–variance …

We first study mean–variance efficient portfolios when there are no trading constraints and show that optimal … reference portfolio. We derive mean–variance efficient portfolios when investors aim to achieve a given correlation (or a given …

This paper studies the problem of asset allocation in a mean-variance framework. The theoretical model of portfolio …

a newly constructed class of multivariate distributions which we call generalized normal mean–variance mixture …