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dc.contributor.authorROY, Santanu
dc.contributor.authorWAGENVOORT, Rien J.L.M.
dc.date.accessioned2011-05-09T15:12:58Z
dc.date.available2011-05-09T15:12:58Z
dc.date.issued1996
dc.identifier.citationJournal of Economics-Zeitschrift Fur Nationalokonomie, 1996, 63, 2, 139-150
dc.identifier.issn0931-8658
dc.identifier.urihttps://hdl.handle.net/1814/17089
dc.description.abstractWe 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.relation.isbasedonhttp://hdl.handle.net/1814/529
dc.titleRisk Preference and Indirect Utility in Portfolio-Choice Problems
dc.typeArticle
dc.identifier.doi10.1007/BF01258669
dc.neeo.contributorROY|Santanu|aut|
dc.neeo.contributorWAGENVOORT|Rien|aut|
dc.identifier.volume63
dc.identifier.startpage139
dc.identifier.endpage150
eui.subscribe.skiptrue
dc.identifier.issue2
dc.description.versionThe article is a published version of EUI ECO WP; 1995/04


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