In this paper, I set up scenarios where the mean-variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to...

This paper compares two approximation schemes for calculating the optimal portfolios in the discrete-time dynamic investment model, specifically, the mean-variance (MV) and the quadratic approximations, to the exact power function method. Future returns are estimated via the empirical...

This paper shows how to perform sensitivity analysis for Mean-Variance (MV) portfolio problems using a general form of parametric quadratic programming. The analysis allows an investor to examine how parametric changes in either the means or the right-hand side of the constraints affect the...