%0 Generic %1 norton2018meanvariance %A Norton, Vic %D 2018 %K portfolio quantfinance statistics %T How Not To Do Mean-Variance Analysis %U http://arxiv.org/abs/1810.10726 %X 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.

@misc{norton2018meanvariance, 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.}, added-at = {2018-11-08T05:24:39.000+0100}, author = {Norton, Vic}, biburl = {https://www.bibsonomy.org/bibtex/245a8b232226f5f86739626cb037ab529/shabbychef}, description = {How Not To Do Mean-Variance Analysis}, interhash = {d7bb638f80baf2f9f69c86d932a00cfe}, intrahash = {45a8b232226f5f86739626cb037ab529}, keywords = {portfolio quantfinance statistics}, note = {cite arxiv:1810.10726Comment: 22 pages}, timestamp = {2018-11-08T05:24:39.000+0100}, title = {How Not To Do Mean-Variance Analysis}, url = {http://arxiv.org/abs/1810.10726}, year = 2018 }