Mean-variance and expected utility: the Borch paradox

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

zbMATH Keywords

expected utility; portfolio theory; CAPM; Borch's paradox; mean-variance; probability mixture

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B06: Decision theory

91B16: Utility theory

91G10: Portfolio theory

Related Items

Auctioning risk: the all-pay auction under mean-variance preferences, Portfolio optimization by a bivariate functional of the mean and variance

Cites Work

• Elementary proof that mean-variance implies quadratic utility
• Bruno de Finetti and the case of the critical line's last segment
• Choice among distributions
• A new foundation for the mean-variance analysis
• The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later
• Time to wealth goals in capital accumulation
• Stochastic Dominance and Moments of Distributions
• The Ordering of Portfolios in Terms of Mean and Variance
• Stochastic Dominance
• The Efficiency Analysis of Choices Involving Risk
• Financial markets theory. Equilibrium, efficiency and information
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