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 | https://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.relation.isbasedon | http://hdl.handle.net/1814/529 | |
dc.title | Risk Preference and Indirect Utility in Portfolio-Choice Problems | |
dc.type | Article | |
dc.identifier.doi | 10.1007/BF01258669 | |
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 | |
dc.description.version | The article is a published version of EUI ECO WP; 1995/04 | |