An analytical framework is set up to evaluate the foregone opportunity cost of mean-variance investment strategies. A parametric structure of the joint distribution of security returns, for which mean-variance investment strategy is suboptimal, is specified. For all constant absolute...

Real returns, excess returns, and nominal returns from stock markets in 11 developed countries are compared for the difference in their means and variances by using a new procedure to test their equality and to determine if one stock market dominates another. The sample period from January 1973...