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Persistent link: https://www.econbiz.de/10010461946
We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with the relative share of stocks in the risky wealth...
Persistent link: https://www.econbiz.de/10012774602
Persistent link: https://www.econbiz.de/10011816816
We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with the relative share of stocks in the risky wealth...
Persistent link: https://www.econbiz.de/10012475371