TY - JOUR T1 - Revisiting Mean-Variance Optimization JF - The Journal of Portfolio Management SP - 71 LP - 81 DO - 10.3905/jpm.2001.319815 VL - 27 IS - 4 AU - Enis Uysal AU - Francis H. Trainer, Jr. AU - Jonathan A Reiss Y1 - 2001/07/31 UR - https://pm-research.com/content/27/4/71.abstract N2 - Mean–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– income context. They examine particularly whether the substantial overweighting of non–Treasury bonds that is recommended in a mean–variance context holds up under alternative return distributions and utility functions. They also show how to incorporate scenario forecasting into an optimization framework. ER -