Kräussl, Roman; Lucas, André; Siegmann, Arjen - In: Finance Research Letters 9 (2012) 1, pp. 1-7
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
