On the Use of Mean-Variance and Quadratic Approximations in Implementing Dynamic Investment Strategies: A Comparison of Returns and Investment Policies
比较了离散时间动态投资模型中均值方差和二次近似两种最优投资组合计算方法，发现季度调整时均值方差近似效果很好，但年度调整时与精确模型差异显著，二次近似差异更大。
This paper compares two approximation schemes for calculating the optimal portfolios in the discrete-time dynamic investment model, specifically, the mean-variance (MV) and the quadratic approximations, to the exact power function method. Future returns are estimated via the empirical probability assessment approach. The results show that (i) with quarterly revision, the MV model approximates the dynamic model very well; (ii) with annual revision, there are often sharp differences between the power function model and the MV approximation; and (iii) these differences become even larger when the quadratic approximation is used.