Mean-variance versus expected utility in dynamic investment analysis
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References listed on IDEAS
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- David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
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- D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
- Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
- Tomasz R. Bielecki & Hanqing Jin & Stanley R. Pliska & Xun Yu Zhou, 2005. "Continuous-Time Mean-Variance Portfolio Selection With Bankruptcy Prohibition," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 213-244.
- repec:eee:insuma:v:75:y:2017:i:c:p:1-15 is not listed on IDEAS
More about this item
KeywordsMarkovian state price density; Expected utility; Mean variance analysis; Growth optimal portfolio; The capital asset pricing model;
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