Arbeitspapier
Upper bounds on risk aversion under mean-variance utility
Based on a simple prior, this note derives upper bounds for the coefficient of absolute & relative risk aversion if utility can be written as depending linearly on the mean and variance of income.
- Language
-
Englisch
- Bibliographic citation
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Series: UCD Centre for Economic Research Working Paper Series ; No. WP19/02
- Classification
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Wirtschaft
Information, Knowledge, and Uncertainty: General
- Subject
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risk aversion
mean-variance utility
risk tolerance
- Event
-
Geistige Schöpfung
- (who)
-
Denny, Kevin
- Event
-
Veröffentlichung
- (who)
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University College Dublin, UCD School of Economics
- (where)
-
Dublin
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- Denny, Kevin
- University College Dublin, UCD School of Economics
Time of origin
- 2019
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