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Chi and Chen are taking about mean-variance framework and efficient frontier. Please read the following statements and mark which one is/are correct?
Statement 1: Under mean-variance framework, we assume normal distribution (elliptical distribution)
Statement 2: If the distribution is skewed or has fat tails then mean-variance assumption is void and can provide inaccurate results.

C) Both statements are correct (this should be the answer)

Location: F1B4C1 Measures of Fin Risk Quiz

Chi and Chen are taking about mean-variance framework and efficient frontier. Please read the following statements and mark which one is/are correct?
Statement 1: Under mean-variance framework, we assume normal distribution (elliptical distribution)
Statement 2: If the distribution is skewed or has fat tails then mean-variance assumption is void and can provide inaccurate results.

C) Both statements are correct (this should be the answer)

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