Discuss the theoretical underpinnings for empirical findings of Yu and Yuan (2011).

The mean-variance relationship has long been a focus in finance literature. Traditional financial theories propose a positive mean-variance relationship (Merton, 1973), i.e. bearing high (low) risk should be rewarded by high (low) returns, empirical studies document at best inconclusive evidence with three mainstreams due to different economic settings and volatility model selection. French et al. […]