Single-Period Mean–Variance Analysis in a Changing World (corrected)
研究了在包含多种证券、多期、交易成本和概率分布变化的环境中，使用可扩展的均值-方差启发式策略与最优策略相比的损失程度，发现该启发式策略表现几乎与最优策略一样好。
Ideally, financial analysts would like to be able to optimize a consumption–investment game with many securities, many time periods, transaction costs, and changing probability distributions. We cannot. For a small optimizable version of such a game, we consider in this article how much would be lost by following one or another heuristic that could be easily scaled to handle large games. For the games considered, a particular mean–variance heuristic does almost as well as the optimum strategy.