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La función de utilidad y el análisis media-varianza


  • José Miguel Casas Sánchez

    (Universidad de Alcalá de Henares)


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.

Suggested Citation

  • José Miguel Casas Sánchez, 1993. "La función de utilidad y el análisis media-varianza," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 0, pages 146-163, Junio.
  • Handle: RePEc:lrk:eeaart:0_2_8

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    References listed on IDEAS

    1. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
    2. Fishburn, Peter C., 1983. "Transitive measurable utility," Journal of Economic Theory, Elsevier, vol. 31(2), pages 293-317, December.
    3. John S. Chipman, 1973. "The Ordering of Portfolios in Terms of Mean and Variance," Review of Economic Studies, Oxford University Press, vol. 40(2), pages 167-190.
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    More about this item


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

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General


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