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...

Ausführliche Beschreibung

Bibliographische Detailangaben
Veröffentlicht in:	Econometrica. - Wiley. - 56(1988), 4, Seite 973-979
1. Verfasser:	Varian, Hal R. (VerfasserIn)
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


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024	7		\|a 10.2307/1912707 \|2 doi
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041			\|a eng
100	1		\|a Varian, Hal R. \|e verfasserin \|4 aut
245	1	0	\|a Estimating Risk Aversion from Arrow-Debreu Portfolio Choice
264		1	\|c 1988
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337			\|a Computermedien \|b c \|2 rdamedia
338			\|a Online-Ressource \|b cr \|2 rdacarrier
520			\|a 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.
540			\|a Copyright 1988 The Econometric Society
650		4	\|a Risk aversion, portfolio theory, expected utility
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial analysis \|x Risk management \|x Risk aversion
650		4	\|a Economics \|x Economic disciplines \|x Consumer economics
650		4	\|a Philosophy \|x Logic \|x Metalogic \|x Logical truth \|x Sufficient conditions
650		4	\|a Philosophy \|x Axiology \|x Ethics \|x Descriptive ethics \|x Observed choices
650		4	\|a Economics \|x Microeconomics \|x Economic utility \|x Utility functions
650		4	\|a Economics \|x Microeconomics \|x Economic utility \|x Expected utility
650		4	\|a Behavioral sciences \|x Behavioral economics \|x Consumer behavior
650		4	\|a Mathematics \|x Pure mathematics \|x Linear algebra \|x Linear transformations
650		4	\|a Behavioral sciences \|x Behavioral economics \|x Consumer behavior \|x Consumer sovereignty \|x Consumer choice
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investors
655		4	\|a research-article
773	0	8	\|i Enthalten in \|t Econometrica \|d Wiley \|g 56(1988), 4, Seite 973-979 \|w (DE-627)270425721 \|w (DE-600)1477253-X \|x 14680262 \|7 nnns
773	1	8	\|g volume:56 \|g year:1988 \|g number:4 \|g pages:973-979
856	4	0	\|u https://www.jstor.org/stable/1912707 \|3 Volltext
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