Abstract
The mean-variance model has, for a long time, appeared to offer the most attractive approach to understanding the workings of financial markets.1 Beginning with the seminal works of Tobin (1958), Markovitz (1959) and Sharpe (1964), a vast body of theory has been constructed to explain a wide variety of phenomena related to portfolio choice and asset pricing.
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Green, C.J. (1988). Adjustment costs and mean-variance efficiency in UK financial markets. In: Motamen, H. (eds) Economic Modelling in the OECD Countries. International Studies In Economic Modelling. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-1213-7_7
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DOI: https://doi.org/10.1007/978-94-009-1213-7_7
Publisher Name: Springer, Dordrecht
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