Optimal tax policy and expected longevity: a mean and variance utility approach

Subjective mean-variance preferences without expected utility

Classical derivations of mean variance preferences have all relied upon the expected utility hypothesis. Some widespread experimental studies have uncovered that the expected utility model tends to be systematically violated in practice. Such findings would lead people to doubt the empirical relevance of the literature and the practical effectiveness of the portfolio selection which employ the ...

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Measures of Risk Attitudes: Correspondences between Mean-Variance- and Expected Utility Approach∗

* We thank Fatma Lajeri-Chaherli for helpful comments on a previous version. We also owe thanks to Marco LiCalzi and two anonymous referees for advice and fruitful criticism.

The Test of Mean-Variance Approximations to Non-Expected Utility

This article tests the performance of the mean-variance approximations to non-expected utility functions. Previous studies justify mean-variance analysis only in the context of expected utility theory by demonstrating the excellent empirical performance of the mean-variance approximations to two of the commonly used utility functions in the study of expected utility: the power and exponential u...

Mean-variance versus expected utility in dynamic investment analysis