Robust Mean-Variance Approximations
Author(s): Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci
We study mean-variance approximations for a large class of preferences. Compared to the standard mean-variance approximation that only features a risk variability term, a novel index of variability appears. Its neglect in an empirical estimation may result in puzzling in ated risk terms of standard mean-variance approximations.