Subjective mean–variance preferences without expected utility
Mathematical Social Sciences, 2017, vol. 87, issue C, 31-39
Classical derivations of mean–variance preferences have all relied on the expected utility hypothesis. Numerous experimental studies have revealed that the expected utility model is systematically violated in practice. Such findings and the simplicity of the mean–variance framework have led researchers and practitioners to employ the mean–variance model without expected utility. However, the theoretical foundations of these models are scant.
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