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Elementary proof that mean–variance implies quadratic utility

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  • D. Johnstone
  • D. Lindley

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Suggested Citation

  • D. Johnstone & D. Lindley, 2011. "Elementary proof that mean–variance implies quadratic utility," Theory and Decision, Springer, vol. 70(2), pages 149-155, February.
    • Handle: RePEc:kap:theord:v:70:y:2011:i:2:p:149-155
    DOI: 10.1007/s11238-010-9194-7
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    References listed on IDEAS

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    1. M. S. Feldstein, 1969. "Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(1), pages 5-12.
    2. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    3. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-430, June.
    4. Baron, David P, 1977. "On the Utility Theoretic Foundations of Mean-Variance Analysis," Journal of Finance, American Finance Association, vol. 32(5), pages 1683-1697, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Pasquariello, Paolo, 2014. "Prospect Theory and market quality," Journal of Economic Theory, Elsevier, vol. 149(C), pages 276-310.
    2. El Hedi Arouri, Mohamed & Rault, Christophe & Sova, Anamaria & Sova, Robert & Teulon, Frédéric, 2013. "Market structure and the cost of capital," Economic Modelling, Elsevier, vol. 31(C), pages 664-671.
    3. Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    4. repec:ipg:wpaper:2014-351 is not listed on IDEAS
    5. Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00798048, HAL.
    6. David J Johnstone, 2023. "Capital budgeting and Kelly betting," Australian Journal of Management, Australian School of Business, vol. 48(3), pages 625-651, August.

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    More about this item

    Keywords

    Mean–variance; Portfolio theory; Expected utility; Quadratic utility; Randomized assets; Lotteries; Buridan’s ass; C3; D81; G11;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • 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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