Jointly radial and translation homothetic preferences: generalized constant risk aversion
The paper identifies the structural restrictions on preferences required for them to exhibit both translation homotheticity in particular direction and radial homotheticity. The results are illustrated by an application to an asset allocation problem in the absence of riskless asset. Copyright Springer-Verlag Berlin/Heidelberg 2004
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Volume (Year): 23 (2004)
Issue (Month): 3 (March)
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