Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European Journal of Operational Research 229 (2013) 3, pp. 637-644
.e., the Markowitz mean–variance problem as well as the problems based on the mean–variance utility function and the quadratic … efficient frontier, the set of mean–variance optimal portfolios. It is shown that the solutions of the Markowitz optimization … problem and the quadratic utility problem are not always mean–variance efficient. …