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A Note on Risk Aversion and Indifference Curves

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  • Amihud, Yakov

Abstract

In his recent paper in this Journal, Miller [3] proposed, following Adler's results [1], that “the investor exhibits decreasing absolute risk aversion with respect to expected wealth if, as increased holding σ constant, the slope of the indifference loci decreases†[3, p. 301]. He further attempted to have shown that in general the sign of () is the same as the sign of r'(W) (the derivative of the absolute risk aversion measure), but this is not proved.

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  • Amihud, Yakov, 1977. "A Note on Risk Aversion and Indifference Curves," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 509-513, September.
    • Handle: RePEc:cup:jfinqa:v:12:y:1977:i:03:p:509-513_02
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    1. Gelles, Gregory M. & Mitchell, Douglas W., 2002. "Two-moment decision models and utility-representable preferences: a comment on Bar-Shira and Finkelshtain," Journal of Economic Behavior & Organization, Elsevier, vol. 49(3), pages 423-427, November.

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