We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (see Maccheroni et al., 2006) and optimal portfolios generated by classical expected utility. As a special case, we connect optimization of truncated...

For linear distribution classes, mean-variance and expected utility specifications have been shown in the literature to be fully compatible when studying the concepts of risk aversion, prudence, risk vulnerability and temperance. This paper shows that such compatibility does hold for the concept...