On Generalizations of Mean–Variance Model

Abstract

Mean-variance analysis is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. This paper is closely related to the mean-variance model, considers the variation of market parameters and the correspond influence on efficient frontier and generalizes the mean-variance model to separable utility function, then compares the efficient frontier with the original mean-variance model and tests the conclusions on real world financial dataset.