Conditions For Transforming An Expected Utility Problem Into A Mean-Variance Analysis

Donald Johnson and Michael Boehlje

ISU General Staff Papers from Iowa State University, Department of Economics

Abstract: Maximizing expected utility is widely accepted in theoretical work, but extension to empirical models is more controversial. We state two theorems which outline conditions when mean-variance procedures such as quadratic programming can be used to maximize expected utility. These conditions are often assumed or satisfied in empirical studies.

Date: 1979-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:isu:genstf:197901010800001107

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