An Axiomatization of Subjective Mean Variance Utility under Ambiguity
نویسنده
چکیده
Classical mean variance utility of Markowitz [1952] and Tobin [1958] have relied on objective expected utility hypothesis. This paper presents a choice-based axiomatization of mean variance utility, in a Savage-type setting of ambiguity, which neither assumes nor implies that individual’s preferences over portfolios conform to the expected utility hypothesis.
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