On Mean-Variance Analysis.

link: http://arxiv.org/abs/1102.5078
Abstract

This paper considers the mean variance portfolio management problem. We
examine portfolios which contain both primary and derivative securities. The
challenge in this context is the well posedness of the optimization problem. We
find examples in which this problem is well posed. Numerical experiments
provide the efficient frontier. The methodology developed in this paper can be
also applied to pricing and hedging in incomplete markets.