Reconciling mean-variance portfolio theory with non-Gaussian returns

Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns

“…In academia, the MPT continues to be challenged from various perspectives. Some scholars have chosen to extend the mean-variance approach in non-trivial directions [2], while others have attacked the statistical validity of the mean-variance model and proposed practical extension to accommodate fat-tailedness of risk factors [3], and or improvements to the distribution of speculative assets [4]. In this paper, we consider the practical challenge of large-scale portfolio optimisation where historical data for some eligible securities is limited.…”