Paradox or At Least Variance Found: A Comment on “Mean-Variance Approaches to Risk-Return Relationships in Strategy: Paradox Lost”

In general, the problem is that the computed mean-variance relationship for a period of time cannot be identified in distinction to the effects of shifts in the relationship over time—without additional information or assumptions. Thus, using a mean-variance approach to risk-return relationships means that statements about the nature of the mean-variance association cannot be confirmed in a nontrivial fashion within the empirical system nor generalized to any other time period—including subperiods. (Ruefli 1990) (emphasis in original)

• 저널Management Science · 37(9) · 1206–1210
• 토픽Complex Systems and Decision Making · Management Science and Operations Research
• DOI10.1287/mnsc.37.9.1206
• 저자Philip Bromiley