What is the Opportunity Cost of Mean-Variance Investment Strategies?
建立分析框架评估均值方差投资策略的机会成本，推导出最优策略与均值方差策略的差异，发现当有无风险资产时机会成本很小，无风险资产受限时随风险厌恶增加而上升。
An analytical framework is set up to evaluate the foregone opportunity cost of mean-variance investment strategies. A parametric structure of the joint distribution of security returns, for which mean-variance investment strategy is suboptimal, is specified. For all constant absolute risk-aversion investors, the optimal strategy, its corresponding mean-variance alternative, and the foregone opportunity cost of mean-variance investment strategy are analytically derived and operationalized empirically. When the investor's opportunity set includes the riskless asset, the premium to replace the mean-variance investment strategy by its optimal one does not exceed 0.05 cents on an invested dollar regardless of the investor's risk aversion. When the riskless asset is denied, the opportunity costs of mean-variance investment strategies increase with the degree of risk aversion.