@article {Uysal71, author = {Enis Uysal and Francis H. Trainer, Jr. and Jonathan A Reiss}, title = {Revisiting Mean-Variance Optimization}, volume = {27}, number = {4}, pages = {71--81}, year = {2001}, doi = {10.3905/jpm.2001.319815}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Mean{\textendash}variance optimization is so well accepted that we often take it for granted. In this article the authors examine the impact of relaxing its assumptions in a fixed{\textendash} income context. They examine particularly whether the substantial overweighting of non{\textendash}Treasury bonds that is recommended in a mean{\textendash}variance context holds up under alternative return distributions and utility functions. They also show how to incorporate scenario forecasting into an optimization framework.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/27/4/71}, eprint = {https://jpm.pm-research.com/content/27/4/71.full.pdf}, journal = {The Journal of Portfolio Management} }