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Investment Flexibility and the Acceptance of Risk

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Author Info

  • Gollier, C.
  • Lindsey, J.
  • Zeckhauser, R.

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

Paper provided by Toulouse - GREMAQ in its series Papers with number 96.421.

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Length: 21 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:gremaq:96.421

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Postal: GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.
Phone: 05.61.62.85.56
Fax: 05 61 22 55 63
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Web page: http://www-gremaq.univ-tlse1.fr/
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Keywords: FINANCIAL MARKET;

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Cited by:
  1. Haigh, Michael S. & List, John A., 2002. "Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis," Working Papers 28554, University of Maryland, Department of Agricultural and Resource Economics.
  2. Christian Gollier & Richard J. Zeckhauser, 1997. "Horizon Length and Portfolio Risk," NBER Technical Working Papers 0216, National Bureau of Economic Research, Inc.
  3. Uri Gneezy & Arie Kapteyn & Jan Potters, 2002. "Evaluation Periods and Assett Prices in a Market Experiment," Working Papers 02-02, RAND Corporation Publications Department.
  4. Gollier, Christian, 2005. "Does Flexibility Enhance Risk Tolerance?," IDEI Working Papers 390, Institut d'Économie Industrielle (IDEI), Toulouse.
  5. Gollier, Christian & Schlesinger, Harris, 2002. "Changes in risk and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 747-760, May.
  6. Nocetti, Diego C., 2013. "The LeChatelier principle for changes in risk," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 460-466.

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