Hence, without knowing his exact utility function in terms of Von Neumann and Morgenstern (1944), an investor is likely to maximize the true expected utility when selecting his preferred mean-variance efficient portfolio
Since Equation (1') is the necessary and sufficient condition for the optimal portfolio solution [omega]* within the mean-variance framework, and Equation (1') mathematically equals (1), the unique [omega] in Equation (1) must be the optimal mean-variance efficient portfolio [omega]*.
In addition, the object of Equation (3) is the optimal mean-variance efficient portfolio for n securities rather than the market equilibrium.
In the model, when commissions are tied to returns and the reference portfolio is a mean-variance efficient portfolio
, optimal decisions by the funds would lead them closer to the efficient frontier with the ensuing benefits to the funds' affiliates.
The sampling error in estimates of mean-variance efficient portfolio
For example, the investor could use the Markowitz mean-variance efficient portfolio
approach; the Bayes-Stein shrinkage portfolio approach; or any of the 'data-and-model' approaches.
Thus, our simulation creates a situation where the market is indeed a mean-variance efficient portfolio
and all securities earn true returns in accordance with their betas.
If so, you still want to solve the mean-variance problem of figure 1, and you still want a mean-variance efficient portfolio
2) The term `market' here refers to the set of assets in the mean-variance efficient portfolio
This means that every mean-variance efficient portfolio
First, a good part of the better performance of portfolio-based models simply reflects Roll's  theorem: We can always construct a reference portfolio that perfectly fits all asset returns: the sample mean-variance efficient portfolio
From a theoretical perspective, the mean-variance framework which underlies the Sharpe-Lintner capital asset pricing model (CAPM) is predicated on certain assumptions required for rational agents to hold mean-variance efficient portfolios