TY  - JOUR
AU  - Werner, Hürlimann 
PY  - 2006
TI  - A Mean-Variance Portfolio Optimal Under Utility Pricing
JF  - Journal of Mathematics and Statistics
VL  - 2
IS  - 4
DO  - 10.3844/jmssp.2006.445.452
UR  - https://thescipub.com/abstract/jmssp.2006.445.452
AB  - 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.