Blavatskyy, Pavlo R. - In: Management Science 56 (2010) 11, pp. 2050-2057
The mean-variance approach is an influential theory of decision under risk proposed by Markowitz (Markowitz, H. 1952. Portfolio selection. J. Finance 7(1) 77-91). The mean-variance approach implies violations of first-order stochastic dominance not commonly observed in the data. This paper...