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Full-Text Articles in Management Sciences and Quantitative Methods
“Optimizing The Performance Of Mean-Variance Portfolios In Various Markets: An “Old-School” Approach”, Roberto Stein, Orlando E. Contreras-Pacheco
“Optimizing The Performance Of Mean-Variance Portfolios In Various Markets: An “Old-School” Approach”, Roberto Stein, Orlando E. Contreras-Pacheco
Department of Management: Faculty Publications
The authors study the performance of mean-variance optimized (MVO) equity portfolios for retail investors in various markets in the U.S. and around the world. Actively managed equity mutual funds have relatively high fees and tend to underperform their benchmark. Index funds such as exchange traded funds still charge appreciable fees, and only deliver the performance of the benchmark. The authors find that MVO portfolios are relatively easy to manage by a retail investor, and that they tend to outperform their benchmark or, at worst, equal its performance, even after adjusting for risk. Moreover, they show that the performance of these …