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Mean-Variance versus Direct Utility Maximization

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Author Info
Kroll, Yoram
Levy, Haim
Markowitz, Harry M

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 39 (1984)
Issue (Month): 1 (March)
Pages: 47-61
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Handle: RePEc:bla:jfinan:v:39:y:1984:i:1:p:47-61

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  1. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. David Moreno & Paulina Marco & Ignacio Olmeda, 2005. "Risk forecasting models and optimal portfolio selection," Applied Economics, Taylor and Francis Journals, vol. 37(11), pages 1267-1281, June. [Downloadable!] (restricted)
  3. Raimond Maurer & Shohreh Valiani, 2007. "Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards versus Currency Options," Working Paper Series: Finance and Accounting 109, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  4. Geoffrey Poitras & John Heaney, 1999. "Skewness preference, mean-variance and the demand for put options," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 20(6), pages 327-342.
  5. Andrea Morone, 2005. "Comparison of Mean-Variance Theory and Expected-Utility Theory through a Laboratory Experiment," Discussion Papers on Strategic Interaction 2005-20, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
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  6. Raimond Maurer & Frank Reiner & Steffen Sebastian, 2004. "Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparison to the U.S. and U.K," Working Paper Series: Finance and Accounting 108, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  7. Satyanarayan, Sudhakar & Somensatto, Eduardo, 1997. "Tradeoffs from hedging oil pricerisk in Ecuador," Policy Research Working Paper Series 1792, The World Bank. [Downloadable!]
  8. Moshe Levy & Yaacov Ritov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management 1006, Anderson Graduate School of Management, UCLA. [Downloadable!]
  9. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School. [Downloadable!]
  10. Post, G.T., 2001. "Testing for Stochastic Dominance with Diversification Possibilities," Research Paper ERS-2001-38-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  11. Kritzman, Mark & Page, Sébastien & Myrgren, Simon, 2007. "Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic," Working papers 37153, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  12. W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis. [Downloadable!]
  13. Joseph G. Eisenhauer, 2003. "Approximation bias in estimating risk aversion," Economics Bulletin, Economics Bulletin, vol. 4(38), pages 1-10. [Downloadable!]
  14. Joseph R. Blasi & Douglas L. Kruse & Harry M. Markowitz, 2008. "Risk and Lack of Diversification under Employee Ownership and Shared Capitalism," NBER Working Papers 14229, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Carlos Vidal-Meliá & Inmaculada Domínguez-Fabián & María del Carmen Boado-Penas, . "Notional Defined Contribution Accounts (NDCs): Solvency and Risk; Application to the Case of Spain," Studies on the Spanish Economy 226, FEDEA. [Downloadable!]
  16. Brouwer, Frank & Ruiter, Hans de, 1997. "Asset class allocation and downside risk: does the investment horizon matter?," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
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