Franke, Günter; Graf, Ferdinand - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2011
All HARA-utility investors with the same exponent invest in a single risky fund and the risk-free asset. In a continuous time-model stock proportions are proportional to the inverse local relative risk aversion of the investor (1/γ-rule). This paper analyses the conditions under which the...