Note---The Mean-Coefficient-of-Variation Rule: The Lognormal Case

Haim Levy
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Haim Levy: Hebrew University, Jerusalem and University of Florida, Gainesville

Management Science, 1991, vol. 37, issue 6, 745-747

Abstract: The mean-variance (M-V) rule may lead to paradoxical results which may be resolved by employing the mean coefficient of variation (M-C) rule. It is shown that the M-C rule constitutes an optimal decision rule for lognormal distributions.

Date: 1991
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