Mean‐Variance Versus Direct Utility Maximization
Levy和Markowitz曾证明，在有限备选分布下，仅知均值和方差就能近似实现期望效用最大化。本文将此结论扩展到标准投资组合约束下的无限备选分布情形。
ABSTRACT Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considered only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.