Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7359653 | Journal of Economic Theory | 2015 | 21 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yutaka Nakamura,