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 |
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| 1. Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1988
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| Zugriff auf das übergeordnete Werk: | Econometrica |
| Schlagworte: | Risk aversion, portfolio theory, expected utility Economics Philosophy Behavioral sciences Mathematics |
| Zusammenfassung: | 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 aversion. The conditions can be used to bound different measures of risk aversion based on a single observation of Arrow-Debreu portfolio choice. |
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| ISSN: | 14680262 |
| DOI: | 10.2307/1912707 |