Mean-variance versus direct utility maximization

Yoram Kroll; Haim Levy; Harry M. Markowitz

Mean-variance versus direct utility maximization

Yoram Kroll, Haim Levy, Harry M. Markowitz

BA Business Department

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considerd only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.

Original language	English
Title of host publication	Harry Markowitz
Subtitle of host publication	Selected Works
Publisher	World Scientific Publishing Co.
Pages	293-308
Number of pages	16
ISBN (Electronic)	9789812833655
State	Published - 1 Jan 2009

Bibliographical note

Publisher Copyright:
© 2008 by World Scientific Publishing Co. Pte. Ltd.

Cite this

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Mean-variance versus direct utility maximization

Abstract

Bibliographical note

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