Arbeitspapier
Risk Aversion under Preference Uncertainty
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 result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 10-117/2/DSF 4
- Classification
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Expectations; Speculations
Portfolio Choice; Investment Decisions
- Subject
-
risk aversion
preference uncertainty
risk-taking
asset allocation
Risikoaversion
Nutzenfunktion
Entscheidung bei Unsicherheit
Portfolio-Management
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Kraeussl, Roman
Lucas, Andre
Siegmann, Arjen
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kraeussl, Roman
- Lucas, Andre
- Siegmann, Arjen
- Tinbergen Institute
Time of origin
- 2010
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