01794cam a22002417 4500001000600000003000500006005001700011008004100028100002000069245010900089260006600198490005100264500001900315520082700334530006101161538007201222538003601294700002101330710004201351830008601393856003701479856003601516t0019NBER20170816092618.0170816s1981 mau||||fs|||| 000 0 eng d1 aJones, David S.10aBliss Points in Mean-Variance Portfolio Modelsh[electronic resource] /cDavid S. Jones, V. Vance Roley. aCambridge, Mass.bNational Bureau of Economic Researchc1981.1 aNBER technical working paper seriesvno. t0019 aDecember 1981.3 aWhen all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in quadratic utility. The second type of bliss point involves satiation in terms of beginning-of-period wealth and afflicts many commonly used mean-variance preference functions. This paper shows that the two types of bliss points are logically independent of one another and that the latter places the effective constraint on an investor's welfare. The paper also uses Samuelson's Fundamental Approximation Theorem to motivate a particular mean-variance portfolio choice model which is not affected by either type of bliss point. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.1 aRoley, V. Vance.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0019.4 uhttp://www.nber.org/papers/t001941uhttp://dx.doi.org/10.3386/t0019