EconPapers    
Economics at your fingertips  
 

Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment

Andrea Morone

Economics Bulletin, 2008, vol. 3, issue 40, 1-7

Abstract: In the 40's and early 50''s two decision theories were proposed and have dominated the scene of the fascinating field of decision-making. Since 1944 - when von Neumann and Morgenstern showed that if preferences are consistent with a set of axioms then it is possible to represent these preferences by the expectation of some utility function - Expected Utility theory provides a natural way to establish "measurable utility". In the early 50''s Markowitz introduced the Mean-Variance theory that is the basis of modern portfolio selection theory. Since then, both models were analyzed from virtually all possible points of view and were tested against several generalizations. However, these two models should be tested against each other. This paper tries to fill this gap, investigating (using experimental data) which of these two models better approximate subjects'' preferences.

Keywords: preference; functional (search for similar items in EconPapers)
JEL-codes: C9 G1 (search for similar items in EconPapers)
Date: 2008-08-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C90003A.pdf (application/pdf)

Related works:
Working Paper: Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment (2007) Downloads
Working Paper: Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment (2005) Downloads
Working Paper: Comparison of Mean-Variance theory and Expected-Utility theory through a Laboratory Experiment (2004) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-08c90003

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2025-03-22
Handle: RePEc:ebl:ecbull:eb-08c90003