| Titre : | Modifying the mean-variance approach to avoid violations of stochastic dominance (2011) |
| Auteurs : | Pavlo R. Blavatskyy, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Management science (Vol. 56 N° 11, Novembre 2010) |
| Article en page(s) : | pp. 2050-2057 |
| Note générale : | Management |
| Langues : | Anglais |
| Index. décimale : | 658 (Organisation des entreprises. Techniques du commerce) |
| Tags : | Mean-variance approach Expected utility Risk Utility dispersion Decision theory |
| Résumé : | The mean-variance approach is an influential theory of decision under risk proposed by Markowitz (Markowitz, H. 1952. Portfolio selection. J. Finance 7(1) 77–91). The mean-variance approach implies violations of first-order stochastic dominance not commonly observed in the data. This paper proposes a new model in the spirit of the classical mean-variance approach without violations of stochastic dominance. The proposed model represents preferences by a functional U(L) – {rho} · r(L), where U(L) denotes the expected utility of lottery L, {rho} isin [–1, 1] is a subjective constant, and r(L) is the mean absolute (utility) semideviation of lottery L. The model comprises a linear trade-off between expected utility and utility dispersion. The model can accommodate several behavioral regularities such as the Allais paradox and switching behavior in Samuelson's example. |
| DEWEY : | 658 |
| ISSN : | 0025-1909 |
| En ligne : | http://mansci.journal.informs.org/cgi/content/abstract/56/11/2050 |
