"It has become fashionable for investors to say that they will simply ride out bear markets, and so they do not worry that the market is too high. Easy to say--hard to do. Most of these investors have never really experienced a bear market, so they don't really have a clue as to how they will react. If experience is any guide, they will forget their determination to stand firm and will head for the exits."
Mark Hulbert, "Requiem for a market letter," Forbes (9/8/97) "Securities portfolios are like diets. There is much to be said for portfolios that are on the mean-variance-efficient frontier. Similarly, there is much to say for diets that are low cost and nutritious. But people care about more than cost and nutrition when they select diets. They also care about palatability, variety, prestige, and culture. Similarly, investors care about more than risk and expected return when they select securities portfolios. They care about the investment equivalents of palatability, variety, prestige, and culture. Mean-variance objectives simply do not reflect the objectives of investors as they choose portfolios."
Kenneth L. Fisher and Meir Statman, "The Mean-Variance-Optimization Puzzle: Security Portfolios and Food Portfolios," Financial Analysts Journal (July/August 1997)
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