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Browsing ECO Articles by Author "ROY, Santanu"
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Title:Risk Preference and Indirect Utility in Portfolio-Choice Problems
Author(s):ROY, Santanu; WAGENVOORT, Rien J.L.M.Date:1996Type of Publication:ArticleAbstract: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 ...