Linear-risk-tolerant, invariant risk preferences

Linear-risk-tolerant, invariant risk preferences

This note identifies the class of preferences which simultaneously satisfy invariance, two-fund portfolio separation, and linear risk tolerance. It also considers the implications for asset demand and asset pricing of this class of preferences.

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Bibliographische Detailangaben
Veröffentlicht in:Economics letters 2005-03, Vol.86 (3), p.303-309
Hauptverfasser: Chambers, Robert G., Quiggin, John
Format: Artikel
Sprache:eng
Schlagworte:
Asset demand
Economics
Preferences
Risk
Uncertainty
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Beschreibung
Zusammenfassung:This note identifies the class of preferences which simultaneously satisfy invariance, two-fund portfolio separation, and linear risk tolerance. It also considers the implications for asset demand and asset pricing of this class of preferences.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2004.08.003