Risk preference and indirect utility in portfolio-choice problems

Journal of Economics/ Zeitschrift fur Nationalokonomie

Volumn 63, Issue 2, 1996, Pages 139-150

  Roy, Santanu ^a   Wagenvoort, Rien ^b  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Absolute risk aversion; Indirect utility; Portfolio choice; Relative risk aversion

Indexed keywords

EID: 3042901826     PISSN: 09318658     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01258669     Document Type: Article

References (5)

1. Arrow, K. J. (1970): "Aspects of the Theory of Risk-Bearing." In Essays in the Theory of Risk-Bearing. Amsterdam: North-Holland.
2. Hakansson, N. H. (1970): "Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions." Econometrica 38: 587-607.
3. Levy, H. (1994): "Absolute and Relative Risk Aversion: an Experimental Study." Journal of Risk and Uncertainty 8: 289-307.
4. Neave, E. H. (1971): "Multiperiod Consumption-Investment Decisions and Risk Preference." Journal of Economic Theory 3: 40-53.
5. Pratt, J. W. (1964): "Risk Aversion in the Small and in the Large." Econometrïca 32: 122-136.