Chen, Xiaomei; Wang, H. Holly; Mittelhammer, Ronald C. - Agricultural and Applied Economics Association - AAEA - 2006
The linear two-moment mean-variance (MV) model has been widely used in finance and economic decision analysis as an approximation of Von Neumann-Morgenstern expected utility (EU) model. The introduction of third or higher moments not only can improve the accuracy of the approximation, but is...