This paper discusses the consistency of the expected utility theory with the mean-variance rule in location-scale family, and broadens the application of mean-variance rule from the normal distribution to location-scale family and proves the Mossin theorem by the obtained result. This not only enlarges the application range and can consolidate the foundation of CAPM.
WEN Ping. , {{custom_author.name_en}}.
Mean-Variance Rule and Its Application. Journal of Systems Science and Mathematical Sciences, 2010, 30(4): 541-547 https://doi.org/10.12341/jssms08970