RT Journal Article SR Electronic T1 Mean-Variance and Scenario-Based Approaches to Portfolio Selection JF The Journal of Portfolio Management FD Institutional Investor Journals SP 10 OP 22 DO 10.3905/jpm.1999.319732 VO 25 IS 2 A1 Richard C. Grinold YR 1999 UL https://pm-research.com/content/25/2/10.abstract AB In this cautionary tale, the sorcerer's apprentice uses his mentor's magic before he knows how to control it. Matters quickly get out of hand. The author argues that the scenario-based expected utility maximization approach to portfolio optimization presents similar opportunities for misadventure. He shows how to avoid the danger, Alas, as with all sorcery, when the illusion is stripped away one sees that there is less there than initially supposed. The conventional mean-variance approach gives comparable answers with less bother and peril.