Conditions For Transforming An Expected Utility Problem Into A Mean-Variance Analysis

Date
1979
Authors
Johnson, Donald
Boehlje, Michael
Journal Title
Journal ISSN
Volume Title
Publisher
Altmetrics
Authors
Research Projects
Organizational Units
Economics
Organizational Unit
Journal Issue
Series
Abstract

Maximizing expected utility is widely accepted in theoretical work, but extension to empirical models is more controversial. We state two theorems which outline conditions when mean-variance procedures such as quadratic programming can be used to maximize expected utility. These conditions are often assumed or satisfied in empirical studies.

Description
Keywords
Citation
DOI
Source
Collections