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Mean-variance utility

Yutaka Nakamura ()

Journal of Economic Theory, 2015, vol. 160, issue C, 536-556

Abstract: The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable. This paper presents and discusses necessary and sufficient preference-based axioms for the existence of mean-variance utility in which any condition on variances but mean-values is not explicitly specified. Furthermore, we investigate necessary and sufficient axioms for four types of additively separable forms of mean and variance in the utility representation.

Keywords: Mean-variance analysis; Mean-variance utility; Decision making under risk; Constant risk aversion (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:jetheo:v:160:y:2015:i:c:p:536-556