RT Journal Article
SR Electronic
T1 Revisiting Mean-Variance Optimization
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 71
OP 81
DO 10.3905/jpm.2001.319815
VO 27
IS 4
A1 Enis Uysal
A1 Francis H. Trainer, Jr.
A1 Jonathan A Reiss
YR 2001
UL https://pm-research.com/content/27/4/71.abstract
AB 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.