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系统科学与数学 2010
MEAN-VARIANCE RULE AND ITS APPLICATION
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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.