Does mean-variance portfolio management deserve expected utility's approximative affirmation?

DOI10.1016/j.ejor.2015.06.010zbMath1346.91214OpenAlexW603328665MaRDI QIDQ320060

Otto Loistl

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.06.010

zbMATH Keywords

expected utilityportfolio managementmean-variance analysis

Mathematics Subject Classification ID

Related Items (3)

A Stein type lemma for the multivariate generalized hyperbolic distribution ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Second order of stochastic dominance efficiency vs mean variance efficiency

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A characterization of the distributions that imply mean-variance utility functions
• Mean-variance approximations to expected utility
• Discrete Choice Methods with Simulation
• Risk Aversion in the Small and in the Large

This page was built for publication: Does mean-variance portfolio management deserve expected utility's approximative affirmation?