Mean-variance versus expected utility in dynamic investment analysis
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Publication:545521
DOI10.1007/s10287-009-0106-7zbMath1214.91103MaRDI QIDQ545521
Yonggan Zhao, William T. Ziemba, Leonard C. MacLean
Publication date: 22 June 2011
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/8890
expected utility; growth optimal portfolio; Markovian state price density; mean variance analysis; the capital asset pricing model
91G10: Portfolio theory