Further Applications of Mean–Variance Optimization
展示了均值-方差优化在退休储蓄和非流动性资产溢价两个问题上的简单应用，提供了实用见解和指导。
In 1952, Harry Markowitz published “Portfolio Selection” and introduced mean–variance optimization. The importance of that article goes beyond mean–variance optimization as a practical tool for portfolio choice. From a technical point of view, mean–variance optimization continues to provide the foundation for building additional tools, used across a range of application areas not foreseen by Markowitz. We present two simple illustrations, addressing the problems of <italic>saving for retirement</italic> and <italic>the theoretical return premium on illiquid assets</italic>. In each case, an approach via mean–variance optimization provides useful insights and practical guidance alongside the existing literature, despite being technically much simpler.