Journal Article Mean-variance utility

Nakamura, Yutaka

160pp.536 - 556 , 2015-12 , Elsevier B.V.
The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable. This paper presents and discusses necessary and sufficient preference-based axioms for the existence of mean-variance utility in which any condition on variances but mean-values is not explicitly specified. Furthermore, we investigate necessary and sufficient axioms for four types of additively separable forms of mean and variance in the utility representation.

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