Mean-variance and expected utility: the Borch paradox

DOI10.1214/12-STS408zbMath1331.91078arXiv1306.2728MaRDI QIDQ252755

David Johnstone, Dennis V. Lindley

Publication date: 4 March 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.2728

zbMATH Keywords

expected utilityportfolio theoryCAPMBorch's paradoxmean-varianceprobability mixture

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

Related Items (2)

Auctioning risk: the all-pay auction under mean-variance preferences ⋮ Portfolio optimization by a bivariate functional of the mean and variance

Cites Work

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• Choice among distributions
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• Time to wealth goals in capital accumulation
• Stochastic Dominance and Moments of Distributions
• The Ordering of Portfolios in Terms of Mean and Variance
• Stochastic Dominance
• The Efficiency Analysis of Choices Involving Risk
• Financial markets theory. Equilibrium, efficiency and information

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