Add to ORKGThis note examines the effect of changes in risk aversion on the optimal portfolio choice in a complete market. It is shown that an agent who is less risk averse in the Pratt (1964) sense than another will choose a portfolio whose payoff is distributed as the other’s payoff plus a nonnegative random variable plus conditional-mean-zero noise. The proof of the result uses simple first order conditions and basic results from stochastic dominance
This paper reconsiders the conditions determining the optimal response of a decision maker in case o...
Cahier de Recherche du Groupe HEC Paris, n° 758We show that differences in investors risk aversion c...
This paper examines changes in the optimal proportions of investment capital placed in a safe asset ...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
The effects of multivariate risk are examined in a model of portfolio choice. The conditions under w...
This paper studies the comparative statics regarding changes in risk on Nash's solution to bargainin...
This paper explicitly solves a dynamic portfolio choice problem in which an investor allocates his w...
We revisit the well-known result that asserts that an increase in the degree of one's risk aversion ...
Abstract. Consider an investor trading dynamically to maximize ex-pected utility from terminal wealt...
Abstract. Consider an investor trading dynamically to maximize ex-pected utility from terminal wealt...
We consider a simple continuous-time economy, populated by a large number of agents, more risk avers...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
Cahier de Recherche du Groupe HEC Paris, n° 758We show that differences in investors risk aversion c...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
This paper reconsiders the conditions determining the optimal response of a decision maker in case o...
Cahier de Recherche du Groupe HEC Paris, n° 758We show that differences in investors risk aversion c...
This paper examines changes in the optimal proportions of investment capital placed in a safe asset ...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both par...
The effects of multivariate risk are examined in a model of portfolio choice. The conditions under w...
This paper studies the comparative statics regarding changes in risk on Nash's solution to bargainin...
This paper explicitly solves a dynamic portfolio choice problem in which an investor allocates his w...
We revisit the well-known result that asserts that an increase in the degree of one's risk aversion ...
Abstract. Consider an investor trading dynamically to maximize ex-pected utility from terminal wealt...
Abstract. Consider an investor trading dynamically to maximize ex-pected utility from terminal wealt...
We consider a simple continuous-time economy, populated by a large number of agents, more risk avers...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
Cahier de Recherche du Groupe HEC Paris, n° 758We show that differences in investors risk aversion c...
The decision-making situation under risk is defined and the certainty equivalent of a lottery with u...
This paper reconsiders the conditions determining the optimal response of a decision maker in case o...
Cahier de Recherche du Groupe HEC Paris, n° 758We show that differences in investors risk aversion c...
This paper examines changes in the optimal proportions of investment capital placed in a safe asset ...