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La función de utilidad y el análisis media-varianza

  • José Miguel Casas Sánchez

    (Universidad de Alcalá de Henares)

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    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.

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    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 0 (1993)
    Issue (Month): (Junio)
    Pages: 146-163

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    Handle: RePEc:lrk:eeaart:0_2_8
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    1. Fishburn, Peter C., 1983. "Transitive measurable utility," Journal of Economic Theory, Elsevier, vol. 31(2), pages 293-317, December.
    2. repec:bla:restud:v:40:y:1973:i:2:p:167-90 is not listed on IDEAS
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