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Investment Flexibility and the Acceptance of Risk

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  • Gollier, Christian
  • Lindsey, John
  • Zeckhauser, Richard J.

Abstract

The hypothesis examined in this paper is that the greater the investor's flexibility, the easier it is for him to change his portfolio depending on his results, the more willing he will be to accept risks. When the investor has no control on the size of the risky investment, but can choose between one risky and one riskless asset, this conjecture is shown to be correct.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 76 (1997)
Issue (Month): 2 (October)
Pages: 219-241

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Handle: RePEc:eee:jetheo:v:76:y:1997:i:2:p:219-241

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Web page: http://www.elsevier.com/locate/inca/622869

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Cited by:
  1. Nocetti, Diego C., 2013. "The LeChatelier principle for changes in risk," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 460-466.
  2. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo Group Munich.
  3. Gneezy, U. & Kapteyn, A. & Potters, J.J.M., 2002. "Evaluation Periods and Asset Prices in a Market Experiment," Discussion Paper 2002-8, Tilburg University, Center for Economic Research.
  4. Gollier, Christian, 2005. "Does Flexibility Enhance Risk Tolerance?," IDEI Working Papers 390, Institut d'Économie Industrielle (IDEI), Toulouse.
  5. Michael Haigh & John List, 2005. "Do professional traders exhibit myopic loss aversion? An experimental analysis," Artefactual Field Experiments 00052, The Field Experiments Website.
  6. Gollier, Christian & Zeckhauser, Richard J, 2002. " Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 195-212, May.

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