Elementary proof that mean-variance implies quadratic utility

DOI10.1007/S11238-010-9194-7zbMath1274.91385OpenAlexW2055672307MaRDI QIDQ622632

Dennis V. Lindley, David Johnstone

Publication date: 3 February 2011

Published in: Theory and Decision (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11238-010-9194-7

zbMATH Keywords

expected utilitylotteriesportfolio theorymean-varianceBuridan's assquadratic utilityrandomized assets

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (3)

Prospect theory and market quality ⋮ Partial-Kelly Strategies and Expected Utility: Small-Edge Asymptotics ⋮ Mean-variance and expected utility: the Borch paradox

Cites Work

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• On the foundations of mean-variance analyses
• The 1988 Wald Memorial Lectures: The present position in Bayesian statistics. With comments and a rejoinder by the author
• Variance aversion implies \(\mu-\sigma^ 2\)-criterion
• Financial markets theory. Equilibrium, efficiency and information

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