논문KCI 등재
The Test of Mean-Variance Approximation to Non-Expected Utility
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Abstract
This article tests the performance of the mean-variance approxi-mations to non-expected utility functions. Previous studies jus-tify mean-variance analysis only in the context of expected utilitytheory by demonstrating the excellent empirical performance ofthe mean-variance approximations to two of the commonly usedutility functions in the study of expected utility: the power andexponential utility functions. The question we ask is whether thesame performance holds in a non-expected utility framework. Wedemonstrate that the mean-variance approximations do not per-form wel for thes-shaped utility function of prospect theory.
참고문헌 (18)
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