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Subjective mean–variance preferences without expected utility

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  • Qu, Xiangyu

Abstract

Classical derivations of mean–variance preferences have all relied on the expected utility hypothesis. Numerous experimental studies have revealed that the expected utility model is systematically violated in practice. Such findings and the simplicity of the mean–variance framework have led researchers and practitioners to employ the mean–variance model without expected utility. However, the theoretical foundations of these models are scant.

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  • Qu, Xiangyu, 2017. "Subjective mean–variance preferences without expected utility," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 31-39.
    • Handle: RePEc:eee:matsoc:v:87:y:2017:i:c:p:31-39
    DOI: 10.1016/j.mathsocsci.2017.02.001
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