IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v10y1987i3p249-257.html
   My bibliography  Save this article

More Evidence On Expected Value-Variance Analysis Versus Direct Utility Maximization

Author

Listed:
  • Bernard V. Tew
  • Donald W. Reid

Abstract

No abstract is available for this item.

Suggested Citation

  • Bernard V. Tew & Donald W. Reid, 1987. "More Evidence On Expected Value-Variance Analysis Versus Direct Utility Maximization," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(3), pages 249-257, September.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:3:p:249-257
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00495.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Peter J. Barry & David R. Willmann, 1976. "A Risk-Programming Analysis of Forward Contracting with Credit Constraints," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 58(1), pages 62-70.
    2. Pulley, Lawrence B., 1981. "A General Mean-Variance Approximation to Expected Utility for Short Holding Periods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(3), pages 361-373, September.
    3. Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. "Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
    4. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-317, June.
    5. Randall A. Kramer & William T. McSweeny & Robert W. Stavros, 1983. "Soil Conservation with Uncertain Revenues and Input Supplies," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 65(4), pages 694-702.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Azaiez, M. N., 2002. "A model for conjunctive use of ground and surface water with opportunity costs," European Journal of Operational Research, Elsevier, vol. 143(3), pages 611-624, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Guo, Xu & Lien, Donald & Wong, Wing-Keung, 2015. "Good Approximation of Exponential Utility Function for Optimal Futures Hedging," MPRA Paper 66841, University Library of Munich, Germany.
    2. Kassimatis, Konstantinos, 2021. "Mean-variance versus utility maximization revisited: The case of constant relative risk aversion," International Review of Financial Analysis, Elsevier, vol. 78(C).
    3. David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.
    4. Harry M. Markowitz, 2002. "Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective," Operations Research, INFORMS, vol. 50(1), pages 154-160, February.
    5. Harry Markowitz & Joseph Blasi & Douglas Kruse, 2010. "Employee stock ownership and diversification," Annals of Operations Research, Springer, vol. 176(1), pages 95-107, April.
    6. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
    7. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
    8. David Johnstone, 2002. "Behavioral and Prescriptive Explanations of a Reverse Sunk Cost Effect," Theory and Decision, Springer, vol. 53(3), pages 209-242, November.
    9. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
    10. António Alberto Santos & Ana Margarida Monteiro & Rui Pascoal, 2014. "Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison," GEMF Working Papers 2014-25, GEMF, Faculty of Economics, University of Coimbra.
    11. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
    12. Duane Rockerbie & Stephen Easton, 2018. "Revenue Sharing in Major League Baseball: The Moments That Meant so Much," IJFS, MDPI, vol. 6(3), pages 1-16, August.
    13. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
    14. Johnson, Michael & O'Connor, Ian & Malcolm, Bill, 2006. "Agribusiness Assets in Investment Portfolios," 2006 Conference (50th), February 8-10, 2006, Sydney, Australia 139794, Australian Agricultural and Resource Economics Society.
    15. M. Glawischnig & I. Seidl, 2013. "Portfolio optimization with serially correlated, skewed and fat tailed index returns," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(1), pages 153-176, January.
    16. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    17. repec:bpj:pepspp:v:18:y:2012:i:3:p:3:n:9 is not listed on IDEAS
    18. Joseph R. Blasi & Douglas L. Kruse & Harry M. Markowitz, 2010. "Risk and Lack of Diversification under Employee Ownership and Shared Capitalism," NBER Chapters, in: Shared Capitalism at Work: Employee Ownership, Profit and Gain Sharing, and Broad-based Stock Options, pages 105-136, National Bureau of Economic Research, Inc.
    19. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    20. Rose A. Nyikal & Willis O. Kosura, 2005. "Risk preference and optimal enterprise combinations in Kahuro division of Murang'a district, Kenya," Agricultural Economics, International Association of Agricultural Economists, vol. 32(2), pages 131-140, March.
    21. David Moreno & Paulina Marco & Ignacio Olmeda, 2005. "Risk forecasting models and optimal portfolio selection," Applied Economics, Taylor & Francis Journals, vol. 37(11), pages 1267-1281.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:10:y:1987:i:3:p:249-257. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.