Article ID: | iaor1992452 |
Country: | United States |
Volume: | 37 |
Issue: | 9 |
Start Page Number: | 1206 |
End Page Number: | 1210 |
Publication Date: | Sep 1991 |
Journal: | Management Science |
Authors: | Bromiley Philip |
Keywords: | finance & banking, statistics: inference |
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.