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OALib Journal期刊
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MEAN-VARIANCE RULE AND ITS APPLICATION
均值-方差准则及其应用

Keywords: Mean-variance rule,expected utility,stochastic dominance,normal distribution
均值-方差准则
,期望效用,随机占优,正态分布.

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Abstract:

This paper discusses the consistency of the expected utility theory with the mean-variance rule in location-scale family, and broadens the application of mean-variance rule from the normal distribution to location-scale family and proves the Mossin theorem by the obtained result. This not only enlarges the application range and can consolidate the foundation of CAPM.

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