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I am trying to use the mean-variance (MV) optimization framework. When I change the mean term using future-ground-truth return (I am not supposed to do so), it has a higher effect on the MV optimization than using the future-ground-truth covariance matrix.

Why does the mean term have a higher effect than the covariance term?

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    $\begingroup$ Could you please add more details? $\endgroup$
    – Kermittfrog
    Commented May 9, 2022 at 4:36

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