文章基本信息

标题：ELLIPTICAL SYMMETRY, EXPECTED UTILITY, AND MEAN-VARIANCE ANALYSIS
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作者：Nelson, Carl H. ; Ndjeunga, Jupiter
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1997
期号：SUPPL
出版社：Food Distribution Research Society
摘要：Mean-variance analysis in the form of risk programming has a long, productive history inagricultural economics research. And risk programming continues to be used despite wellknown theoretical results that choices based on mean-variance analysis are not consistentwith choices based on expected utility maximization. This paper demonstrates that themultivariate distribution of returns used in risk programming must be elliptically symmetricin order for mean-variance analysis to be consistent with expected utility choices. Thena statistical test for elliptical symmetry is developed and demonstrated. This test enablesresearchers to determine when data will produce significant di.erences between risk pro-gramming choices and expected utility choices.