paper

How Not To Do Mean-Variance Analysis

arXiv:1810.10726

Abstract

We use the 2014 market history of two high-returning biotechnology exchange-traded funds to illustrate how ex post mean-variance analysis should not be done. Unfortunately, the way it should not be done is the way it generally is done -- to our knowledge.

22 pages

How Not To Do Mean-Variance Analysis · wovepaper