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 |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008925149