In the financial markets, there is a well established portfolio optimization model called generalized mean-variance model (or generalized Markowitz model). This model considers that a typical investor, while expecting returns to be high, also expects returns to be as certain as possible. In this paper we introduce a new media optimization system based on the mean-variance model, a novel approach in media planning. After presenting the model in its full generality, we discuss possible advantages of the mean-variance paradigm, such as its flexibility in modeling the optimization problem, its ability of dealing with many media performance indices - satisfying most of the media plan needs - and, most important, the property of diversifying the media portfolios in a natural way, without the need to set up ad hoc constraints to enforce diversification.
media planning; mean-variance optimization; parametric quadratic programming
