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A General Mean-Variance Approximation to Expected Utility for Short Holding Periods

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  • Pulley, Lawrence B.

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  • Pulley, Lawrence B., 1981. "A General Mean-Variance Approximation to Expected Utility for Short Holding Periods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 361-373, September.
  • Handle: RePEc:cup:jfinqa:v:16:y:1981:i:03:p:361-373_00
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    Cited by:

    1. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
    2. António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF, Faculty of Economics, University of Coimbra.
    3. Erwin Bulte & Joost Pennings, 1997. "A Note on Overfishing, Fishing Rights and Futures Markets," European Journal of Law and Economics, Springer, vol. 4(4), pages 327-335, December.
    4. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
    5. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Futures Exchange Innovations: Reinforcement versus Cannibalism," Finance 9905003, EconWPA.
    6. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
    7. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    8. Joseph R. Blasi & Douglas L. Kruse & Harry M. Markowitz, 2010. "Risk and Lack of Diversification under Employee Ownership and Shared Capitalism," NBER Chapters,in: Shared Capitalism at Work: Employee Ownership, Profit and Gain Sharing, and Broad-based Stock Options, pages 105-136 National Bureau of Economic Research, Inc.
    9. repec:pal:jorsoc:v:61:y:2010:i:7:d:10.1057_jors.2009.40 is not listed on IDEAS
    10. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
    11. repec:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0201-0 is not listed on IDEAS
    12. Guo, Xu & Lien, Donald & Wong, Wing-Keung, 2015. "Good Approximation of Exponential Utility Function for Optimal Futures Hedging," MPRA Paper 66841, University Library of Munich, Germany.
    13. Mahapatra, Santosh & Levental, Shlomo & Narasimhan, Ram, 2017. "Market price uncertainty, risk aversion and procurement: Combining contracts and open market sourcing alternatives," International Journal of Production Economics, Elsevier, vol. 185(C), pages 34-51.
    14. Pennings, Joost M. E. & M. Leuthold, Raymond, 2001. "Introducing new futures contracts: reinforcement versus cannibalism," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 659-675, October.
    15. repec:eee:riibaf:v:42:y:2017:i:c:p:509-521 is not listed on IDEAS
    16. David Moreno & Paulina Marco & Ignacio Olmeda, 2005. "Risk forecasting models and optimal portfolio selection," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1267-1281.
    17. Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
    18. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
    19. Jack Meyer & Robert H. Rasche, 1989. "Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock," NBER Technical Working Papers 0076, National Bureau of Economic Research, Inc.
    20. Bernard V. Tew & Donald W. Reid, 1987. "More Evidence On Expected Value-Variance Analysis Versus Direct Utility Maximization," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 249-257, September.

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