In class we learned that investors should always hold a portfolio that is on the efficient frontier. In reality investors often hold a portfolio that is not on the efficient frontier. One reason for this is called home bias. Home bias refers to the fact that investors tend to have larger portfolio weights on assets that are located in the country in which they live. So, American investors tend to have a larger portfolio weight on American firms than is optimal. One explanation for the home bias puzzle is that investors often have less information about foreign investments than they do domestic ones, making it easier for them to forecast the returns on domestic stocks compared to foreign ones.

Assuming this theory is correct explain: How this helps to resolve the home bias puzzle in the context of the mean variance preferences?