Investment Flexibility and the Acceptance of Risk
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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|Date of creation:||1996|
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- Christian Gollier, 1996. "Repeated Optional Gambles and Risk Aversion," Management Science, INFORMS, vol. 42(11), pages 1524-1530, November.
- Jackson, Matthew & Peck, James, 1991. "Speculation and price fluctuations with private, extrinsic signals," Journal of Economic Theory, Elsevier, vol. 55(2), pages 274-295, December.
- Caballé, Jordi & Pomansky, Alexey, 1995.
"Mixed Risk Aversion,"
Working Paper Series
444, Research Institute of Industrial Economics.
- Pratt, John W & Zeckhauser, Richard J, 1987. "Proper Risk Aversion," Econometrica, Econometric Society, vol. 55(1), pages 143-54, January.
- David E. Bell, 1988. "The Value of Pre-Decision Side Bets for Utility Maximizers," Management Science, INFORMS, vol. 34(6), pages 797-800, June.
- Duffie Darrell & Rahi Rohit, 1995. "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, vol. 65(1), pages 1-42, February.
- Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
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