Compatibility of expected utility and μ/σ approaches to risk for a class of non location–scale distributions
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References listed on IDEAS
- Bierwag, G O, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 431-433, June.
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- Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
More about this item
KeywordsExpected utility; Mean variance analysis; Location–scale distributions; D81; G11;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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