@unpublished{langlois:hal-02896695, TITLE = {{A New Benchmark for Dynamic Mean-Variance Portfolio Allocations}}, AUTHOR = {Langlois, Hugues}, URL = {https://hec.hal.science/hal-02896695}, NOTE = {working paper or preprint}, HAL_LOCAL_REFERENCE = {FIN-2020-1368}, YEAR = {2020}, MONTH = Jul, KEYWORDS = {Portfolio Choice ; Mean-Variance ; Asset Allocation ; Estimation Risk}, HAL_ID = {hal-02896695}, HAL_VERSION = {v1}, }