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Robust Mean-Variance Approximations

Number: 689
Year: 2023
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.