Mean-variance versus expected utility in dynamic investment analysis

Leonard MacLean (), Yonggan Zhao () and William Ziemba ()

Computational Management Science, 2011, vol. 8, issue 1, 3-22

Keywords: Markovian state price density; Expected utility; Mean variance analysis; Growth optimal portfolio; The capital asset pricing model (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10287-009-0106-7

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