Mean-variance versus expected utility in dynamic investment analysis
From MaRDI portal
Publication:545521
DOI10.1007/S10287-009-0106-7zbMath1214.91103OpenAlexW1993513623MaRDI QIDQ545521
William T. Ziemba, Yonggan Zhao, Leonard C. MacLean
Publication date: 22 June 2011
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/8890
expected utilitygrowth optimal portfolioMarkovian state price densitymean variance analysisthe capital asset pricing model
Related Items (3)
Optimal hedging with basis risk under mean-variance criterion ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Portfolio theory for squared returns correlated across time
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Evolutionary stability of portfolio rules in incomplete markets
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Coherent multiperiod risk adjusted values and Bellman's principle
- An Intertemporal Capital Asset Pricing Model
- A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation
This page was built for publication: Mean-variance versus expected utility in dynamic investment analysis
