Mean‐Variance Versus Direct Utility Maximization

  • Author(s): YORAM KROLL, HAIM LEVY, HARRY M. MARKOWITZ
  • Published: Apr 30, 2012
  • Pages: 47-61
  • DOI: 10.1111/j.1540-6261.1984.tb03859.x

ABSTRACT

Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considered only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version