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A characterization of the distributions that imply mean—Variance utility functions · Study

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ArticleA characterization of the distributions that imply mean—Variance utility functions

Gary Chamberlain1983

Article1983

A characterization of the distributions that imply mean—Variance utility functions

Gary Chamberlain

435 citations·0/0 files stored·Journal of Economic Theory

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Risk and Portfolio Optimization Stochastic processes and financial applications Economic theories and models

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1959Portfolio Selection: Efficient Diversification of Investments 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1972Essays in the Theory of Risk-Bearing.1958Liquidity Preference as Behavior Towards Risk

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Year1983

Typearticle

Published1983-02-01

VenueJournal of Economic Theory

ISSN-L0022-0531

Languageen

Citations435

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/0022-0531(83)90129-1

openalex_workW2034485809

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2006Optimal Portfolio Allocation under Higher Moments 2001The specification of conditional expectations 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis 2009Copula–Based Models for Financial Time Series 1995On Equilibrium Pricing under Parameter Uncertainty 1984A unified beta pricing theory 2009Is There an Intertemporal Relation between Downside Risk and Expected Returns?2012Mean–variance approximations to expected utility