Does mean-variance portfolio management deserve expected utility's approximative affirmation?

DOI10.1016/J.EJOR.2015.06.010zbMATH Open1346.91214OpenAlexW603328665MaRDI QIDQ320060FDOQ320060

Authors: Otto Loistl 

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.06.010

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zbMATH Keywords

expected utilitymean-variance analysisportfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

Cites Work

• Mean-variance approximations to expected utility
• Discrete Choice Methods with Simulation
• Risk Aversion in the Small and in the Large
• A characterization of the distributions that imply mean-variance utility functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (6)

• Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
• Mean-variance approximations to expected utility
• Risk- and value-based management for non-life insurers under solvency constraints
• Second order of stochastic dominance efficiency vs mean variance efficiency
• A Stein type lemma for the multivariate generalized hyperbolic distribution
• The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later

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