Mean-variance utility

DOI10.1016/J.JET.2015.10.001zbMath1369.91060OpenAlexW3124477144MaRDI QIDQ893428

Yutaka Nakamura

Publication date: 19 November 2015

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/37107/files/JET_160.pdf

zbMATH Keywords

constant risk aversionmean-variance analysisdecision making under riskmean-variance utility

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (2)

Auctioning risk: the all-pay auction under mean-variance preferences ⋮ Subjective mean-variance preferences without expected utility

Cites Work

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• On the foundations of mean-variance analyses
• Constant risk aversion
• Lexicographic quasilinear utility
• Variance aversion implies \(\mu-\sigma^ 2\)-criterion
• Subjective mean-variance preferences without expected utility
• A theory of risk
• Decreasing Risk Aversion and Mean-Variance Analysis
• Constant Exchange Risk Properties

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