Mean-variance utility

Mean-variance utility

The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable. This paper presents and discusses necessary and sufficient preference-based axioms for the existence of mean-variance utility in which any condition on variances but mean-values is...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of economic theory 2015-12, Vol.160, p.536-556
1. Verfasser: Nakamura, Yutaka
Format: Artikel
Sprache:eng
Schlagworte:
Axioms
Constant risk aversion
Decision analysis
Decision making under risk
Economic theory
Economics
Mean-variance analysis
Mean-variance utility
Random variables
Representations
Studies
Utilities
Utility functions
Variance
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable. This paper presents and discusses necessary and sufficient preference-based axioms for the existence of mean-variance utility in which any condition on variances but mean-values is not explicitly specified. Furthermore, we investigate necessary and sufficient axioms for four types of additively separable forms of mean and variance in the utility representation.
ISSN:0022-0531
1095-7235
DOI:10.1016/j.jet.2015.10.001