Mean-variance and expected utility: the Borch paradox
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Publication:252755
DOI10.1214/12-STS408zbMath1331.91078arXiv1306.2728MaRDI QIDQ252755
David Johnstone, Dennis V. Lindley
Publication date: 4 March 2016
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.2728
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)
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