MEAN-VARIANCE APPROXIMATIONS TO EXPECTED LOGARITHMIC UTILITY

被引：47

作者：

PULLEY, LB

机构：

来源：

关键词：

D O I：

10.1287/opre.31.4.685

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：685 / 696

页数：12

共 23 条

[1]

Bachelier L., 1964, RANDOM CHARACTER STO

[2]

BACHELIER L, RANDOM CHARACTER STO

BLATTBERG, RC ;

GONEDES, NJ .

[4]

BREIMAN L., 1960, NAV RES LOG, V7, P647

[5]

DEXTER AS, 1976, STOCHASTIC PROGRAMMI, P507

[6] SOME PROPERTIES OF SYMMETRIC STABLE DISTRIBUTIONS [J].

FAMA, EF ;

ROLL, R .

[7] THE BEHAVIOR OF STOCK-MARKET PRICES [J].

FAMA, EF .

[8]

FAMA EF, 1976, F FINANCE

[9]

GORDON MJ, 1972, AM ECON REV, V62, P107

[10] ROBUSTNESS OF THE ARROW-PRATT RISK AVERSION MEASURE [J].

KALLBERG, JG ;

ZIEMBA, WT .