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

Philip Bromiley
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Philip Bromiley: Department of Strategic Management and Organization, Carlson School of Management, 271 19th Avenue South, Minneapolis, Minnesota 55455

Management Science, 1991, vol. 37, issue 9, 1206-1210

Abstract: 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)

Date: 1991
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