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- Title
Mean-Variance versus Direct Utility Maximization: A Comment.
- Authors
REID, DONALD W.; TEW, BERNARD V.
- Abstract
The article presents a response to the paper "Mean-Variance Versus Direct Utility Maximization" by Y. Kroll, H. Levy, and H. M. Markowitz. The author raises the issue of measuring the "quality," or the relative stochastic efficiency, of the mean-variance approximations. Several mathematical models are examined for their relative efficiency in determining rational portfolio choices.
- Subjects
EXPECTED utility; ANALYSIS of variance; UTILITY functions; RISK aversion; PORTFOLIO management (Investments); ASSET management; INVESTMENT analysis; FINANCIAL ratios; FINANCIAL instruments; ECONOMIC efficiency; EDUCATION
- Publication
Journal of Finance (Wiley-Blackwell), 1986, Vol 41, Issue 5, p1177
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1986.tb02542.x