Mean-Variance Versus Direct Utility Maximization: A Comment.

The article presents a commentary on the paper "Mean-Variance Versus Direct Utility Maximization," by Y. Kroll, H. Levy, and H. G. Markowitz. The author acknowledges that the analysis satisfactorily resolved both the multiplicative and additive scaling difficulties. He notes however that the paper introduced a new set of problems because of the arbitrary nature of the expected utility ratio. The author says an appropriate approach would map expected utility values for all utility functions having the same rankings into the same values, for purposes of comparison.