Article ID Journal Published Year Pages File Type
7359653 Journal of Economic Theory 2015 21 Pages PDF
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
,