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The Ordering of Portfolios in Terms of Mean and Variance

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  • John S. Chipman

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  • John S. Chipman, 1973. "The Ordering of Portfolios in Terms of Mean and Variance," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(2), pages 167-190.
    • Handle: RePEc:oup:restud:v:40:y:1973:i:2:p:167-190.
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    File URL: http://hdl.handle.net/10.2307/2296646
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    Cited by:

    1. Southern Regional Research, 1988. "Modelling Farm Program-Crop Mix Decisions Under Risk: Discussion," Regional Research Projects > 1988: S-180 Annual Meeting, March 20-23, 1988, Savannah, Georgia 272785, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    2. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    3. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
    4. Yalcin Tuncer, 1975. "Portfolio Analysis with Indirect Utility," The American Economist, Sage Publications, vol. 19(1), pages 32-37, March.
    5. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.
    6. Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, vol. 119(1), pages 35-49, November.
    7. Lajeri-Chaherli, Fatma, 2003. "Partial derivatives, comparative risk behavior and concavity of utility functions," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 81-99, August.
    8. Meyer, Jack, 1988. "Two Moment Decision Models And Expected Utility Maximization: Some Implications For Applied Research," Regional Research Projects > 1988: S-180 Annual Meeting, March 20-23, 1988, Savannah, Georgia 272846, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    9. Bettina Klose & Paul Schweinzer, 2022. "Auctioning risk: the all-pay auction under mean-variance preferences," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(4), pages 881-916, June.
    10. Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 53-65, June.
    11. Thomas Eichner, 2008. "Mean Variance Vulnerability," Management Science, INFORMS, vol. 54(3), pages 586-593, March.
    12. Xiaoxia Huang & Guowei Jiang, 2021. "Portfolio management with background risk under uncertain mean-variance utility," Fuzzy Optimization and Decision Making, Springer, vol. 20(3), pages 315-330, September.
    13. Liu, Liping, 2004. "A new foundation for the mean-variance analysis," European Journal of Operational Research, Elsevier, vol. 158(1), pages 229-242, October.
    14. Thomas Eichner & Andreas Wagener, 2009. "Multiple Risks and Mean-Variance Preferences," Operations Research, INFORMS, vol. 57(5), pages 1142-1154, October.
    15. Davies, Laurie & Ronning, Gerd, 1974. "Einige exakte und asymptotische Ergebnisse für das Standardmodell der Portefeuille-Auswahl innerhalb einer Periode," Discussion Papers, Series I 41, University of Konstanz, Department of Economics.
    16. Wagener, Andreas, 2003. "Comparative statics under uncertainty: The case of mean-variance preferences," European Journal of Operational Research, Elsevier, vol. 151(1), pages 224-232, November.
    17. José Miguel Casas Sánchez, 1993. "La función de utilidad y el análisis media-varianza," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 0, pages 146-163, Junio.
    18. Soumyatanu Mukherjee & Sidhartha S. Padhi, 2022. "Sourcing decision under interconnected risks: an application of mean–variance preferences approach," Annals of Operations Research, Springer, vol. 313(2), pages 1243-1268, June.
    19. Fatma Lajeri-Chaherli, 2016. "On The Concavity And Quasiconcavity Properties Of ( Σ , Μ ) Utility Functions," Bulletin of Economic Research, Wiley Blackwell, vol. 68(3), pages 287-296, April.
    20. Cooper, James B. & Russell, Thomas & Samuelson, Paul A., 2004. "Testing the expected utility maximization hypothesis with limited experimental data," Japan and the World Economy, Elsevier, vol. 16(3), pages 391-407, August.
    21. Haas, Markus, 2016. "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, vol. 19(C), pages 209-216.
    22. Mumey, G.A. & Bauer, L. & Boyda, A., 1988. "An Estimate of Risk and Returns From Cropping Alternatives," Project Report Series 232065, University of Alberta, Department of Resource Economics and Environmental Sociology.

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