Mean-variance approximations to expected utility

DOI10.1016/j.ejor.2012.08.023zbMath1304.91203OpenAlexW2034625206MaRDI QIDQ2514706

Harry M. Markowitz

Publication date: 3 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.08.023

zbMATH Keywords

geometric meanexpected utilitymean-variance analysisValue at Risksemivariancemean-absolute deviation

Mathematics Subject Classification ID

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Cites Work

• A characterization of the distributions that imply mean-variance utility functions
• The likelihood of various stock market return distributions. I: Principles of inference
• The likelihood of various stock market return distributions. II: Empirical results
• What is the Opportunity Cost of Mean-Variance Investment Strategies?
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