Mean-variance utility

• 成果类型: Article
• 署名作者: Nakamura, Yutaka
• 署名单位: University of Tsukuba
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.10.001
• 发表日期: 2015
• 页码: 536-556
• 关键词: Mean-variance analysis; Mean-variance utility; Decision making under risk; Constant risk aversion

摘要

The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable. This paper presents and discusses necessary and sufficient preference-based axioms for the existence of mean-variance utility in which any condition on variances but mean-values is not explicitly specified. Furthermore, we investigate necessary and sufficient axioms for four types of additively separable forms of mean and variance in the utility representation. (C) 2015 Elsevier Inc. All rights reserved.