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A Utility Theoretic Basis for “Generalized†Mean-Coefficient of Variation (MCV) Analysis


  • Shrieves, Ronald E.
  • Wachowicz, John M.


The coefficient of variation (CV) in investment returns is often presented in introductory finance texts as a measure of project risk [7, 9, 13, 15]. Curiously, the resulting mean-coefficient of variation (MCV) efficiency criterion is usually casually proposed as an alternative to the more widely recommended mean-standard deviation (MSD) definition of efficiency, as if MCV possessed an obvious intuitive appeal for some investors or some investment situations. The pervasiveness of references to CV as a risk measure is perplexing in light of the absence of utility theoretic underpinnings, especially by contrast with the substantial theoretical effort underlying the MSD notion of efficiency [3, 6, 8, 10, 11, 12].

Suggested Citation

  • Shrieves, Ronald E. & Wachowicz, John M., 1981. "A Utility Theoretic Basis for “Generalized†Mean-Coefficient of Variation (MCV) Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(5), pages 671-683, December.
  • Handle: RePEc:cup:jfinqa:v:16:y:1981:i:05:p:671-683_00

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