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Primary Article

Revisiting Mean-Variance Optimization

Enis Uysal, Francis H. Trainer and Jonathan A Reiss
The Journal of Portfolio Management Summer 2001, 27 (4) 71-81; DOI: https://doi.org/10.3905/jpm.2001.319815
Enis Uysal
A quantitative analyst for Alliance Capital Management in New York (NY 10105).
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Francis H. Trainer Jr.
Retired. He was previously chief investment officer for fixed income investments for Sanford C. Bernstein & Co., Inc.
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Jonathan A Reiss
A senior quantitative strategist for Bernstein Investment Research and Management, a unit of Alliance Capital Management, L.P. in New York (NY 10153).
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Abstract

Mean–variance optimization is so well accepted that we often take it for granted. In this article the authors examine the impact of relaxing its assumptions in a fixed– income context. They examine particularly whether the substantial overweighting of non–Treasury bonds that is recommended in a mean–variance context holds up under alternative return distributions and utility functions. They also show how to incorporate scenario forecasting into an optimization framework.

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The Journal of Portfolio Management
Vol. 27, Issue 4
Summer 2001
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Revisiting Mean-Variance Optimization
Enis Uysal, Francis H. Trainer, Jonathan A Reiss
The Journal of Portfolio Management Jul 2001, 27 (4) 71-81; DOI: 10.3905/jpm.2001.319815

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Revisiting Mean-Variance Optimization
Enis Uysal, Francis H. Trainer, Jonathan A Reiss
The Journal of Portfolio Management Jul 2001, 27 (4) 71-81; DOI: 10.3905/jpm.2001.319815
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