Portfolio choice with endogenous utility: A large deviations approach

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 365-386

  Stutzer, Michael ^a  

^a UNIVERSITY OF COLORADO   (United States)

Author keywords

Large deviations; Portfolio theory; Risk aversion; Safety first

Indexed keywords

INVESTMENTS; PARAMETER ESTIMATION; PROBABILITY; RISK MANAGEMENT; STRATEGIC PLANNING;

PORTFOLIO THEORY; RISK AVERSION;

ECONOMICS;

EID: 0346093802     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00112-X     Document Type: Article

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