An agent's expected utility depends only on mean and variance
An agent's expected utility generally depends on the full probability distribution of payoffs and higher-order moments (such as skewness and kurtosis), unless specific conditions are met—such as quadratic utility or normally distributed outcomes where mean-variance analysis suffices.
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Wikipedia: Expected utility hypothesis. Wikipedia. https://en.wikipedia.org/wiki/Expected_utility_hypothesis
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math.stackexchange.com: Agent's expected utility depends only on mean and variance. math.stackexchange.com. https://math.stackexchange.com/questions/2096974/agents-expected-utility-depends-only-on-mean-and-variance
Shows that a specific quadratic utility function leads to expected utility depending on mean and variance, implying it is not a general rule.
arxiv.org: (untitled). arxiv.org. https://arxiv.org/pdf/2211.01240
Notes mean-variance criterion is equivalent to maximum expected utility only under specific conditions like symmetric elliptical distributions.
link.springer.com: A user’s guide to economic utility functions | Journal of Risk and Uncertainty | Springer Nature Link. link.springer.com. https://link.springer.com/article/10.1007/s11166-024-09443-5
States higher-order terms like skewness and kurtosis affect expected utility, showing it does not depend solely on mean and variance.
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