Empirically testing for the location-scale condition: A review of the economic literature

Michael Vassalos, Carl R. Dillon, Paul D. Childs

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

An interesting strand of the applied economic literature considers the conditions that are required for two major theories of economic decisions under uncertainty, mean-variance and expected utility to be consistent with each other. One of these conditions is the location-scale (LS) parameter condition. If the LS condition can be verified, there is a clear sense in which a mean-variance approach, which assumes a portfolio variance as the risk measure, will be validated.

Original languageEnglish
Pages (from-to)51-66
Number of pages16
JournalJournal of Risk Model Validation
Volume6
Issue number3
DOIs
StatePublished - 2012

ASJC Scopus subject areas

  • Modeling and Simulation
  • Finance
  • Economics and Econometrics
  • Applied Mathematics

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