Elementary proof that mean-variance implies quadratic utility
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Publication:622632
DOI10.1007/s11238-010-9194-7zbMath1274.91385MaRDI QIDQ622632
Dennis V. Lindley, David Johnstone
Publication date: 3 February 2011
Published in: Theory and Decision (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11238-010-9194-7
expected utility; lotteries; portfolio theory; mean-variance; Buridan's ass; quadratic utility; randomized assets
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Cites Work
- On the foundations of mean-variance analyses
- The 1988 Wald Memorial Lectures: The present position in Bayesian statistics. With comments and a rejoinder by the author
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- Financial markets theory. Equilibrium, efficiency and information
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