---
title: MeanVariance Efficient Portfolios
url: https://www.ml-quant.com/papers/ssrn/4831997/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4831997
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4831997
featured: 2024-05-22
citations: unknown
topic: Portfolio & Allocation
---


# MeanVariance Efficient Portfolios

A 1992 study found that a composite model of financial variables outperformed equity benchmarks by 400 basis points annually, a finding later confirmed by Markowitz and Xu in 1994.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4831997
- Identifier: SSRN 4831997
- Released: 2023-04-03
- First featured: Quant Letter No. 50 (2024-05-22): https://www.ml-quant.com/issues/2024-05-22/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Single-stage Portfolio Optimization with Automated Machine Learning for M6](https://www.ml-quant.com/papers/ssrn/4836123/): The M6 forecasting competition paper introduces a data-driven approach that directly optimizes portfolio weights, achieving a 9.5 global rate of return and an information ratio of 5.045.
- [DSPO: An End-to-End Framework for Direct Sorted Portfolio Construction](https://www.ml-quant.com/papers/arxiv/2405.15833/): The paper showcases Direct Sorted Portfolio Optimization (DSPO), a framework using neural networks to process stock data and construct sorted portfolios, proven effective on various markets.
- [Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)](https://www.ml-quant.com/papers/ssrn/4824172/): The study investigates the success of an intraday momentum strategy on SPY, an ETF tracking the SP500, which resulted in a 1985 total return from 2007 to 2024.
- [Determinants of Bank Performance: Evidence from Replicating Portfolios](https://www.ml-quant.com/papers/ssrn/4822187/): A new bank performance metric reveals that structural issues like cost inefficiencies primarily cause underperformance, with high-performing banks being less dependent on government aid and more shock-resistant.
- [Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization](https://www.ml-quant.com/papers/ssrn/4825814/): The research compares the effects of integrating credit risk and interest rate risk in bond portfolio optimization with traditional risk measures, introducing a new approach called Duration Spread Ratio (DSR) optimization that outperforms in all scenarios.
- [Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management](https://www.ml-quant.com/papers/arxiv/2405.05449/): The paper presents KDD, a hybrid method combining portfolio theory and reinforcement learning for optimal investment portfolios, achieving high profitability with low risk.