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The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results

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  • Loistl, Otto

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  • Loistl, Otto, 1976. "The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results," American Economic Review, American Economic Association, vol. 66(5), pages 904-910, December.
  • Handle: RePEc:aea:aecrev:v:66:y:1976:i:5:p:904-10
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    Cited by:

    1. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
    2. Ebert, Sebastian, 2015. "On skewed risks in economic models and experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 85-97.
    3. Kevin J. Maloney & William J. Marshall & Jess B. Yawitz, 1983. "The Effect of Risk on the Firm's Optimal Capital Stock: A Note," NBER Working Papers 1132, National Bureau of Economic Research, Inc.
    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. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
    6. Çanakoglu, Ethem & Özekici, Süleyman, 2010. "Portfolio selection in stochastic markets with HARA utility functions," European Journal of Operational Research, Elsevier, vol. 201(2), pages 520-536, March.
    7. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    8. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
    9. Eduardo Ariel Corso, 2013. "Cross Fertilizations and Controversies in the Origins and Evolution of Portfolio Selection Models," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(68), pages 43-74, June.
    10. repec:eee:ejores:v:261:y:2017:i:2:p:606-612 is not listed on IDEAS
    11. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
    12. Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
    13. Arun G. Chandrasekhar & Robert Townsend & Juan Pablo Xandri, 2018. "Financial Centrality and Liquidity Provision," NBER Working Papers 24406, National Bureau of Economic Research, Inc.
    14. Christodoulakis, George & Peel, David, 2006. "The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class," Finance Research Letters, Elsevier, vol. 3(4), pages 273-276, December.
    15. repec:hal:journl:halshs-00336475 is not listed on IDEAS

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