Markowitz, Harry - In: European Journal of Operational Research 234 (2014) 2, pp. 346-355
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 …. This paper reviews a half-century of research on mean–variance approximations to expected utility. The many studies in this …