Mean-variance versus expected utility in dynamic investment analysis
Year of publication: |
2011
|
---|---|
Authors: | MacLean, Leonard ; Zhao, Yonggan ; Ziemba, William |
Published in: |
Computational Management Science. - Springer. - Vol. 8.2011, 1, p. 3-22
|
Publisher: |
Springer |
Subject: | Markovian state price density | Expected utility | Mean variance analysis | Growth optimal portfolio | The capital asset pricing model |
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