How Not To Do Mean-Variance Analysis
Portfolio Management
2018-10-26 v1 Computational Finance
Abstract
We use the 2014 market history of two high-returning biotechnology exchange-traded funds to illustrate how ex post mean-variance analysis should not be done. Unfortunately, the way it should not be done is the way it generally is done -- to our knowledge.
Cite
@article{arxiv.1810.10726,
title = {How Not To Do Mean-Variance Analysis},
author = {Vic Norton},
journal= {arXiv preprint arXiv:1810.10726},
year = {2018}
}
Comments
22 pages