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Quadratic Utility and Linear Mean‐Variance: A Pedagogic Note
Author(s) -
Collins Robert A.,
Gbur Edward E.
Publication year - 1991
Publication title -
applied economic perspectives and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.4
H-Index - 49
eISSN - 2040-5804
pISSN - 2040-5790
DOI - 10.2307/1349644
Subject(s) - variance (accounting) , quadratic equation , quadratic model , econometrics , economics , mathematics , statistics , mathematical economics , geometry , accounting , response surface methodology
While the claim is frequently made that quadratic utility of wealth gives rise to linear mean variance functions, the claim is in general false. This note discusses quadratic utility and its relationship to mean variance analysis.