【摘要】 证明了当决策集为位置-尺度分布族时,期望效用理论与均值-方差准则是一致的.从而就可以将马克威茨的均值-方差准则中的正态假设减弱为位置-尺度分布族.这不仅扩大了均值-方差准则的应用范围,而且巩固了组合投资理论与资本资产定价理论的基础.更多还原

【Abstract】 This paper proves that mean-variance rule of Markowitz is consistent with expected utility theory and stochastic dominance when decision set is comprising by the location-scale family,so we can change the normal distribution hypothesis of mean-variance rule to the location-scale family hypothesis.This enlarge the application scope of mean-variance rule of Markowitz.更多还原