A preference foundation for log mean-variance criteria in portfolio choice problems

DOI10.1016/0165-1889(93)90021-JzbMATH Open0784.90011OpenAlexW2058282539MaRDI QIDQ690178FDOQ690178

Authors: David G. Luenberger 

Publication date: 20 December 1993

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(93)90021-j

Recommendations

• Mean-variance efficiency of optimal power and logarithmic utility portfolios
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• Portfolio Theory for Independent Assets
• Towards the determination of utility preference from optimal portfolio selections

zbMATH Keywords

portfolio choicelog mean-variance criteriainfinite-horizon investmentstochastic wealth sequences

Mathematics Subject Classification ID

Utility theory (91B16) Economic growth models (91B62)

Cites Work

• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Title not available (Why is that?)
• Title not available (Why is that?)
• Competitive Optimality of Logarithmic Investment
• The General Form of the So-Called Law of the Iterated Logarithm
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
• A negative report on the ‘near optimality’ of the max-expected-log policy as applied to bounded utilities for long lived programs

Cited In (23)

• Mean variance preferences and the heat equation
• Log mean-variance portfolio selection under regime switching
• A numerical evaluation of meta-heuristic techniques in portfolio optimisation
• Using the Kelly criterion for investing
• Markets do not select for a liquidity preference as behavior towards risk
• The evolution of portfolio rules and the capital asset pricing model
• Arbitrage and universal pricing.
• Market selection of constant proportions investment strategies in continuous time
• Alternative optimality criteria of portfolio selection based upon threshold stopping rule
• Constant rebalanced portfolio optimization under nonlinear transaction costs
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• On formation of security portfolio with uniform distribution by logarithmic criterion and priority risk component
• Numéraire-invariant preferences in financial modeling
• Mean-variance utility
• The regime switching portfolios
• Peer effect and dynamic ALM games among insurers
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• Generalized concavity of a function in portfolio theory
• Comparing financial investments by their state dependent returns: A one-way log utility representation
• Generalised mean-risk preferences
• Present value based portfolio choice
• An appreciation of Professor David G. Luenberger
• Analysis of the rebalancing frequency in log-optimal portfolio selection

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