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Linear risk tolerance and mean-variance preferences

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Author Info
Andreas Wagener () (University of Vienna)

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Abstract

We translate the property of linear risk tolerance (hyperbolical Arrow-Pratt index of risk aversion) from the expected-utility framework into a condition on the marginal rate of substitution between return and risk in the mean-variance approach.

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File URL: http://www.accessecon.com/pubs/EB/2005/Volume4/EB-05D80001A.pdf
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Publisher Info
Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 4 (2005)
Issue (Month): 1 ()
Pages: 1-8
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Handle: RePEc:ebl:ecbull:v:4:y:2005:i:1:p:1-8

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D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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