CONSISTENCY OF MEAN-VARIANCE ANALYSIS AND EXPECTED UTILITY ANALYSIS - A COMPLETE CHARACTERIZATION

被引：16
作者：
BIGELOW, JP
机构：
[1] Department of Economics, University of Missouri, Columbia, MO 65211
来源：
ECONOMICS LETTERS | 1993年 / 43卷 / 02期
关键词：
D O I：
10.1016/0165-1765(93)90035-B
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A risk-averse individual's expected utility is a function of mean and variance if and only if the class of random variables to be ranked is completely ordered by Rothschild-Stiglitz increasing risk after normalization by their means.
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收藏
页码：187 / 192
页数：6
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