Many regulators, rating agencies, executives, and academics have responded to recent corporate scandals and business failures by advocating and embracing a new approach to risk management: enterprise risk management (ERM). ERM proposes the integrated management of all the risks an organization...

In general, the problem is that the computed mean-variance relationship for a period of time cannot be identified in distinction to the effects of shifts in the relationship over time---without additional information or assumptions. Thus, using a mean-variance approach to risk-return...