We had our first taste of the problem with mean-variance optimization at a hedge fund some years back. We loaded the positions into an optimizer, pressed the button, and discovered 25% of the ...

The mean-variance optimization suggested by Henry Markowitz represents a path-breaking work, the beginning of the so-called Modern Portfolio Theory. This theory has been criticized by some researchers ...

A set of assets is said to span the mean–variance space if the efficient frontier it generates cannot be improved upon with additional assets. Mean–variance spanning is used to determine empirically ...