Bauwens, Luc (contributor); Ben Omrane, Walid (contributor); … - 2006
risk aversion.
If dealers are less risk averse, they would like to borrow in order to invest this money in
currencies that … aversion. The amount of money that a given dealer borrows or lends is obtained
by substituting (6) in (12), which gives
b … suggests to borrow
at the risk-free rate and to invest the borrowed money in the risky currency portfolio. The
average fraction …