TY - JOUR
T1 - Empirically testing for the location-scale condition
T2 - A review of the economic literature
AU - Vassalos, Michael
AU - Dillon, Carl R.
AU - Childs, Paul D.
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84976897379&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84976897379&partnerID=8YFLogxK
U2 - 10.21314/JRMV.2012.092
DO - 10.21314/JRMV.2012.092
M3 - Article
AN - SCOPUS:84976897379
SN - 1753-9579
VL - 6
SP - 51
EP - 66
JO - Journal of Risk Model Validation
JF - Journal of Risk Model Validation
IS - 3
ER -