| dc.contributor.author |
ROY, Santanu |
|
| dc.contributor.author |
WAGENVOORT, Rien J.L.M. |
|
| dc.date.accessioned |
2011-05-09T15:12:58Z |
|
| dc.date.available |
2011-05-09T15:12:58Z |
|
| dc.date.issued |
1996 |
|
| dc.identifier.citation |
Journal of Economics-Zeitschrift Fur Nationalokonomie, 1996, 63, 2, 139-150 |
|
| dc.identifier.issn |
0931-8658 |
|
| dc.identifier.uri |
http://hdl.handle.net/1814/17089 |
|
| dc.description.abstract |
We consider a portfolio-choice problem with one risky and one safe asset, where the utility function exhibits decreasing absolute risk aversion (DARA). We show that the indirect utility function of the portfolio-choice problem need not exhibit DARA. However, if the (optimal) marginal propensity to invest is positive for both assets, which is true when the utility function exhibits non-decreasing relative risk aversion, then the DARA property is carried over from the direct to the indirect utility function. |
|
| dc.title |
Risk Preference and Indirect Utility in Portfolio-Choice Problems |
|
| dc.type |
Article |
|
| dc.neeo.contributor |
ROY|Santanu|aut| |
|
| dc.neeo.contributor |
WAGENVOORT|Rien|aut| |
|
| dc.identifier.volume |
63 |
|
| dc.identifier.startpage |
139 |
|
| dc.identifier.endpage |
150 |
|
| eui.subscribe.skip |
true |
|
| dc.identifier.issue |
2 |
|