Robust Mean-Variance Approximations

Simone Cerreia-Vioglio, Fabio Maccheroni and Massimo Marinacci

No 689, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: We study mean-variance approximations for a large class of preferences. Compared to the standard mean-variance approximation that only features a risk variability term, a novel index of variability appears. Its neglect in an empirical estimation may result in puzzling in ated risk terms of standard mean-variance approximations.

Date: 2023
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