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Notices
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Nathan Erickson (not verified)
13th October 2017 | 5:14am

Peter, I'll refer you to the following link in which Markowitz discusses your question in detail with Antii Ilmanen of AQR. In short, he has tested alternative measures of risk and "determined that mean-variance was best in approximating expected utility versus proposed alternative measures of risk."

https://www.aqr.com/~/media/files/words-from-the-wise/words-from-the-wi…