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We translate the property of linear risk tolerance (hyperbolical Arrow-Pratt index of risk aversion) from the expected-utility framework into a condition on the marginal rate of substitution between return and risk in the mean-variance approach.
Persistent link: https://www.econbiz.de/10010629212
We analyse the steady-state equilibrium dynamics of an OLG economy with a pay-as-you-go (PAYG) pension scheme that relates old-age pensions to previous earnings. Contrary to an economy where PAYG pensions depend on the earnings of those currently working, such an economy may experience complex...
Persistent link: https://www.econbiz.de/10010630060
We analyse the steady-state equilibrium dynamics of an OLG economy with a pay-as-you-go (PAYG) pension scheme that relates old-age pensions to previous earnings. Contrary to an economy where PAYG pensions depend on the earnings of those currently working, such an economy may experience complex...
Persistent link: https://www.econbiz.de/10005190021
We translate the property of linear risk tolerance (hyperbolical Arrow-Pratt index of risk aversion) from the expected-utility framework into a condition on the marginal rate of substitution between return and risk in the mean-variance approach.
Persistent link: https://www.econbiz.de/10005196479