Upper bounds on risk aversion under mean-variance utility

Based on a simple prior, this note derives upper bounds for the coefficient of absolute & relative risk aversion if utility can be written as depending linearly on the mean and variance of income.

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Year of publication:	2019
Authors:	Denny, Kevin
Publisher:	Dublin : University College Dublin, UCD School of Economics
Subject:	risk aversion \| mean-variance utility \| risk tolerance

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Series:	UCD Centre for Economic Research Working Paper Series ; WP19/02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1067244727 [GVK] hdl:10419/198578 [Handle] RePEc:ucn:wpaper:201902 [RePEc]
Classification:	D80 - Information and Uncertainty. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10012017579