Large scale mean-variance strategies in the U.S. stock market

Luca Pezzo, Lei Wang, Duygu Zirek

Research output: Contribution to journalReview articlepeer-review


We provide an extensive analysis of the profitability of large-scale Mean-Variance (MV) strategies in the US stock market. Implementing MV strategies has never been so rewarding as recently. MV strategies work best in periods where their parameters are more accurately estimated, making strategies more stable and able to adapt to changes in the investment opportunity set. Minimizing over costs is better than going for the classical approach, especially for strategies that target higher returns. This is because cost optimization puts a stabilizing economic bound on the weights, lowering downside risk and enabling better scaling, while driving execution costs toward zero.

Original languageEnglish
Article number102062
JournalResearch in International Business and Finance
StatePublished - Oct 2023


  • Estimation error
  • Market-timing
  • Mean-Variance
  • Profitability
  • Transaction costs


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