Elliptical Symmetry and Mean Variance Portfolio Choice

Carl Nelson (chnelson@illinois.edu)

No 271543, 1990 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, January 28-31, 1990, Sanibel Island, Florida from Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk

Abstract: Results of Chamberlain and Meyer are combined to extend Meyer's location-scale condition to portfolio choice models where the distribution of returns is elliptically symmetric. This extension implies that mean-variance choice is consisteht with expected utility maximizing choice for such models. All expected utility maximizing portfolios lie on the mean-variance efficiency frontier which can be generated with quadratic risk programming. A test for elliptical symmetry is also described. This test enables one to determine whether a given set of portfolio data satisfies the conditions which make mean-variance choice consistent with expected utility maximization.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 21
Date: 1990-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:rrsr90:271543

DOI: 10.22004/ag.econ.271543

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