A risk aversion paradox and wealth dependent utility

We report a surprising property of u-o-preferences: the assumption of nonincreasing relative risk aversion implies the optimal portfolio being riskless. We discuss a solution of that paradox in detail. (JEL D80, G11, D10).

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Year of publication:	1996
Authors:	Löffler, Andreas
Publisher:	Institut für Bank- und Finanzwirtschaft <Berlin>
Subject:	Finanzierungstheorie \| Portfolio \| Aversion

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Extent:	14 p. application/pdf
Series:	Freie Universität Berlin - Fachbereich Wirtschaftswissenschaften - Institut für Bank- und Finanzwirtschaft
Type of publication:	Book / Working Paper
Language:	English
Classification:	D10 - Household Behavior and Family Economics. General ; D80 - Information and Uncertainty. General ; G11 - Portfolio Choice ; Corporate finance and investment policy. General ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005842122