{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,20]],"date-time":"2026-08-20T14:31:57Z","timestamp":1787236317652,"version":"3.56.0"},"reference-count":82,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"12","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Management Science"],"published-print":{"date-parts":[[2021,12]]},"abstract":"<jats:p>We show that, in the presence of a risk-free asset, the return distribution of every portfolio is determined by its mean and variance if and only if asset returns follow a specific skew-elliptical distribution. Thus, contrary to common belief among academics and practitioners, skewed returns do not allow a rejection of mean-variance analysis. Our work differs from Chamberlain's [Chamberlain G (1983) A characterization of the distributions that imply mean-variance utility functions. J. Econom. Theory 29(1):185\u2013201.] by focusing on the returns of portfolios, where the weights over the risk-free asset and the risky assets sum to unity. Furthermore, it extends Meyer's [Meyer J, Rasche RH (1992) Sufficient conditions for expected utility to imply mean-standard deviation rankings: Empirical evidence concerning the location and scale condition. Econom. J. (London) 102(410):91\u2013106.] by introducing elliptical noise into their generalized location-scale framework. To emphasize the relevance of our skew-elliptical model, we additionally provide empirical evidence that it cannot be rejected for the returns of typical portfolios of common stocks or popular alternative investments.<\/jats:p>\n                  <jats:p>This paper was accepted by Kay Giesecke, finance.<\/jats:p>","DOI":"10.1287\/mnsc.2020.3846","type":"journal-article","created":{"date-parts":[[2021,1,18]],"date-time":"2021-01-18T10:17:15Z","timestamp":1610965035000},"page":"7812-7824","source":"Crossref","is-referenced-by-count":43,"title":["Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed"],"prefix":"10.1287","volume":"67","author":[{"given":"Frank","family":"Schuhmacher","sequence":"first","affiliation":[{"name":"Department of Finance, University of Leipzig, 04109 Leipzig, Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Hendrik","family":"Kohrs","sequence":"additional","affiliation":[{"name":"University of Leipzig, Department of Finance, 04109 Leipzig, Germany"},{"name":"Department of Risk Management and Quantitative Analysis, VNG Handel and Vertrieb GmbH, 04347 Leipzig, Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/2.zoppoz.workers.dev:443\/https\/orcid.org\/0000-0002-4795-2821","authenticated-orcid":false,"given":"Benjamin R.","family":"Auer","sequence":"additional","affiliation":[{"name":"University of Leipzig, Department of Finance, 04109 Leipzig, Germany"},{"name":"Chair of Finance, Brandenburg University of Technology Cottbus-Senftenberg, 03046 Cottbus, Germany"},{"name":"Research Network Area Macro, Money and International Finance, CESifo Munich, 80539 Munich, Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.04.002"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg044"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199959327.001.0001"},{"key":"B4","volume-title":"Practical Portfolio Performance Measurement and Attribution","author":"Bacon C","year":"2008","edition":"2"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1162\/003465303322369704"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1016\/j.qref.2011.10.001"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1977.tb03363.x"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2013.06.023"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1086\/295472"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.40.4.516"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.33.8.955"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(70)90002-5"},{"key":"B13","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(83)90129-1"},{"key":"B14","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm075"},{"key":"B15","first-page":"507","volume-title":"Stochastic Programming","author":"Dexter A","year":"1980"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2006.09.015"},{"key":"B17","volume-title":"Modern Portfolio Theory and Investment Analysis","author":"Elton E","year":"2007","edition":"7"},{"key":"B18","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.011"},{"key":"B19","doi-asserted-by":"publisher","DOI":"10.1017\/S002210901700103X"},{"key":"B20","doi-asserted-by":"publisher","DOI":"10.1080\/00949658008810372"},{"key":"B21","doi-asserted-by":"publisher","DOI":"10.1007\/BF02507031"},{"key":"B22","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx019"},{"key":"B23","doi-asserted-by":"publisher","DOI":"10.1016\/S0377-2217(98)00258-6"},{"key":"B24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.05.013"},{"key":"B25","doi-asserted-by":"publisher","DOI":"10.1090\/S0025-5718-98-00894-1"},{"issue":"3","key":"B26","first-page":"713","volume":"84","author":"Hlawitschka W","year":"1994","journal-title":"Amer. 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