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Markowits (1952) assumes that asset returns will follow a normal distribution. However, in reality, it has been criticized that asset returns often do not follow a normal distribution, as it often varies three standard deviations away from the mean. Is there any citation for this then?

Thanks in advance.

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    $\begingroup$ Markowitz's 1952 paper did not have any distributional assumptions. You should read it. It is not rigorously constructed. It was more of a proto-idea at that state. He posited a mean and a variance but many distributions have both, some only have a mean, some have neither. The earliest paper would be by Mandelbrot in 1963 called "On the Variation of Certain Speculative Prices." If memory serves me, it is on returns on cotton purchases. $\endgroup$
    – Dave Harris
    Dec 28, 2021 at 6:02
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    $\begingroup$ @DaveHarris this seems to answer the question, consider posting it as an answer so it can be upvoted/accepted $\endgroup$
    – 1muflon1 ♦
    Dec 28, 2021 at 14:46

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Markowitz's 1952 paper did not have any distributional assumptions. You should read it. It is not rigorously constructed. It was more of a proto-idea at that state. He posited a mean and a variance but many distributions have both, some only have a mean, some have neither. The earliest paper would be by Mandelbrot in 1963 called "On the Variation of Certain Speculative Prices." If memory serves me, it is on returns on cotton purchases.

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