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Upper Bounds on Risk Aversion under Mean-variance Utility

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  • Kevin Denny

Abstract

Based on a simple prior, this note derives upper bounds for the coefficient of absolute & relative risk aversion if utility can be written as depending linearly on the mean and variance of income.

Suggested Citation

  • Kevin Denny, 2019. "Upper Bounds on Risk Aversion under Mean-variance Utility," Working Papers 201902, School of Economics, University College Dublin.
    • Handle: RePEc:ucn:wpaper:201902
    as

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    File URL: http://hdl.handle.net/10197/9632
    File Function: First version, 2019
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    References listed on IDEAS

    as
    1. Raj Chetty, 2006. "A New Method of Estimating Risk Aversion," American Economic Review, American Economic Association, vol. 96(5), pages 1821-1834, December.
    2. Pierre‐André Chiappori & Monica Paiella, 2011. "Relative Risk Aversion Is Constant: Evidence From Panel Data," Journal of the European Economic Association, European Economic Association, vol. 9(6), pages 1021-1052, December.
    3. Manski, Charles F, 1990. "Nonparametric Bounds on Treatment Effects," American Economic Review, American Economic Association, vol. 80(2), pages 319-323, May.
    4. Robert B. Barsky & F. Thomas Juster & Miles S. Kimball & Matthew D. Shapiro, 1997. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 112(2), pages 537-579.
    5. Fung, William & Hsieh, David A., 1999. "Is mean-variance analysis applicable to hedge funds?," Economics Letters, Elsevier, vol. 62(1), pages 53-58, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Risk aversion; Mean-variance utility; Risk tolerance;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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