tag:blogger.com,1999:blog-706772597530050449.post6032792012684606239..comments2024-02-19T12:04:56.080-05:00Comments on Reading the Markets: Markowitz, Risk-Return Analysis, vol. 1Brenda Jubinhttp://www.blogger.com/profile/02587551531260863509noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-706772597530050449.post-69523937701225016852013-10-02T14:48:22.879-04:002013-10-02T14:48:22.879-04:00It may be true that the formula for the expected r...It may be true that the formula for the expected return is true regardless of the distribution. That's the mean in the mean-variance analysis, but it's only half the picture. For the risk half, the distribution of returns matters a great deal. MPT and the efficient frontier concept is based on the idea of risk-adjusted returns and the correlation of asset returns. The mean-variance analysis fails miserably on this measure, and did so long before the financial collapse of 2008. So experience does tend to undermine MPT and the efficient frontier model. That doesn't mean it should be abandoned, but it should be used with a great deal of caution and a recognition of its shortcomings.sslezaknoreply@blogger.com