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La función de utilidad y el análisis media-varianza

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  • José Miguel Casas Sánchez

    (Universidad de Alcalá de Henares)

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    Abstract

    En este trabajo partiendo de la axiomática de Von Neurmann y Oscar Morgenstern estudiamos los fundamentos del análisis media-varianza, así como la consistencia de la ordenación de alternativas. Llegamos a ver en primer lugar que la función de utilidad media-varianza es cuadrática para la ordenación de preferencias, sin embargo cuando pretendemos obtener estrategias óptimas no es necesario que la función de utilidad sea cuadrática. Terminamos introduciendo los parámetros de localización y escala en la función de utilidad media-varianza.

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    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 0 (1993)
    Issue (Month): (Junio)
    Pages: 146-163

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    Handle: RePEc:lrk:eeaart:0_2_8

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    Related research

    Keywords: Utilidad; análisis media-varianza; estrategias; alternativas; ordenación; carteras;

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    1. Fishburn, Peter C., 1983. "Transitive measurable utility," Journal of Economic Theory, Elsevier, vol. 31(2), pages 293-317, December.
    2. Chipman, John S, 1973. "The Ordering of Portfolios in Terms of Mean and Variance," Review of Economic Studies, Wiley Blackwell, vol. 40(2), pages 167-90, April.
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