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Conditions For Transforming An Expected Utility Problem Into A Mean-Variance Analysis

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  • Johnson, Donald
  • Boehlje, Michael

Abstract

Maximizing expected utility is widely accepted in theoretical work, but extension to empirical models is more controversial. We state two theorems which outline conditions when mean-variance procedures such as quadratic programming can be used to maximize expected utility. These conditions are often assumed or satisfied in empirical studies.

Suggested Citation

  • Johnson, Donald & Boehlje, Michael, 1979. "Conditions For Transforming An Expected Utility Problem Into A Mean-Variance Analysis," ISU General Staff Papers 197901010800001107, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genstf:197901010800001107
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