Research Article Open Access

A Mean-Variance Portfolio Optimal Under Utility Pricing

Hürlimann Werner

Abstract

An expected utility model of asset choice, which takes into account asset pricing, is considered. The obtained portfolio selection problem under utility pricing is solved under several assumptions including quadratic utility, exponential utility and multivariate symmetric elliptical returns. The obtained unique solution, called optimal utility portfolio, is shown mean-variance efficient in the classical sense. Various questions, including conditions for complete diversification and the behavior of the optimal portfolio under univariate and multivariate ordering of risks as well as risk-adjusted performance measurement, are discussed.

Journal of Mathematics and Statistics
Volume 2 No. 4, 2006, 445-452

DOI: https://doi.org/10.3844/jmssp.2006.445.452

Submitted On: 13 November 2005 Published On: 31 December 2006

How to Cite: Werner, H. (2006). A Mean-Variance Portfolio Optimal Under Utility Pricing. Journal of Mathematics and Statistics, 2(4), 445-452. https://doi.org/10.3844/jmssp.2006.445.452

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Keywords

  • Portfolio selection
  • utility pricing
  • mean-variance efficiency
  • elliptical distributions