Estimating Risk Aversion from Arrow-Debreu Portfolio Choice
This paper derives necessary and sufficient conditions for Arrow-Debreu choices of contingent consumption to be compatible with the maximization of a state independent expected utility function that exhibits increasing or decreasing absolute risk aversion, or increasing or decreasing relative risk a...
| Veröffentlicht in: | Econometrica. - Wiley. - 56(1988), 4, Seite 973-979 |
|---|---|
| 1. Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1988
|
| Zugriff auf das übergeordnete Werk: | Econometrica |
| Schlagworte: | Risk aversion, portfolio theory, expected utility Economics Philosophy Behavioral sciences Mathematics |