Mean-variance criterion

Mean-variance criterion

The selection of portfolios based on the means and variances of their returns. The choice of the higher expected return portfolio for a given level of variance or the lower variance portfolio for a given expected return.
References in periodicals archive ?
If we compare the first two moments (mean-variance analysis), note that for m high, the expectation and variance of the CPPI portfolio are greater than those of the OBPI one and so there is no-dominance with respect to the mean-variance criterion.
If the decision-maker is risk-averse or if the outcome distributions are normally distributed, then the familiar mean-variance criterion can be used to select the optimal hedging strategy.
However, if the decision-maker is risk-averse and the outcome distributions resulting from the use of the hedging strategies are normal, the simple mean-variance criterion can be employed to select the best strategy.
By taking account of all points of a hedging strategy's outcome distribution, the approach avoids the problems and paradoxes associated with popular selection procedures based strictly on numerical accuracy or the mean-variance criterion.
However, neither approach enjoys the popularity of Markowitz's mean-variance criterion.