Dominated assets, the expected utility maxim, and mean-variance portfolio selection
| dc.contributor.author | Fehr, David | |
| dc.date.accessioned | 2011-01-24T19:23:20Z | |
| dc.date.available | 2011-01-24T19:23:20Z | |
| dc.date.issued | 2006 | |
| dc.description | Version of Record | |
| dc.description.abstract | The purpose of this paper is to consider optimal portfolio selection when a dominated asset is included in the menu of investment opportunities. We will explore whether mean-variance portfolio selection (MV) and expected utility of terminal wealth maximization maxim (EU) make compatible portfolio selection decisions in the presence of a dominating asset. A three asset, three state model is presented to highlight the inconsistency between MV and EU when a dominated asset is present. (Library-derived description) | en_US |
| dc.description.bibliographicCitation | Fehr, D. (2006). Dominated assets, the expected utility maxim, and mean-variance portfolio selection (Working Paper No. 2006-02). Southern New Hampshire University, Center for Financial Studies. | en_US |
| dc.digSpecs | PDF/A-1b | en_US |
| dc.format.extent | 763942 bytes | en_US |
| dc.format.mediaType | application/pdf | en_US |
| dc.identifier.uri | https://hdl.handle.net/10474/1658 | |
| dc.language.iso | en_US | en_US |
| dc.publisher | Southern New Hampshire University | en_US |
| dc.relation.requires | Adobe Acrobat Reader | en_US |
| dc.rights | Author retains all ownership rights. Further reproduction in violation of copyright is prohibited | en_US |
| dc.subject.other | mean-variance portfolio selection | |
| dc.subject.other | wealth maximization maxim | |
| dc.subject.other | portfolio valuation | |
| dc.title | Dominated assets, the expected utility maxim, and mean-variance portfolio selection | en_US |
| dc.type | Working Paper | en_US |