中文摘要：

均值-方差分析与期望效用理论的一致性自该方法被提出后一直就是一个值得研究的问题。传统观点认为,当分布为多元正态分布或效用函数为二次函数时,两者才是一致的。研究表明,当椭圆分布的边际分布的支撑可抵达负无穷时,两者也是一致的。椭圆分布作为包含多元正态分布等在内的分布族,已被广泛用于投资组合和风险管理的研究中。两者之间所存在的一致性不仅说明在这种条件下均值-方差分析的有效性,而且还可以拓展均值-方差分析的应用范围。这表明,该研究具有一定的理论和应用价值。

英文摘要：

The consistency of mean-variance analysis with expected utility theory have been a problem worthy studying since the method has been proposed.The traditional view is that when the distribution is multivariate normal distribution or when the utility function is a quadratic function,they are consistent.This paper shows that when the support of the marginal distribution can reach negative infinity,they are consistent.Elliptical distribution has been used to study in portfolio and risk management.Consistency between the Mean-variance analysis and expected utility theory not only illustrates the effectiveness of mean-variance analysis but also greatly expands the applications of mean-variance analysis.