Upper Bounds on Risk Aversion under Mean-variance Utility

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Title: Upper Bounds on Risk Aversion under Mean-variance Utility
Authors: Denny, Kevin
Permanent link: http://hdl.handle.net/10197/9632
Date: Feb-2019
Online since: 2019-03-06T14:48:13Z
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.
Type of material: Working Paper
Publisher: University College Dublin. School of Economics
Start page: 1
End page: 4
Series/Report no.: UCD Centre for Economic Research Working Paper Series; WP2019/02
Copyright (published version): 2019 the Author
Keywords: Risk aversionMean-variance utilityRisk tolerance
JEL Codes: D80
Language: en
Status of Item: Not peer reviewed
This item is made available under a Creative Commons License: https://creativecommons.org/licenses/by-nc-nd/3.0/ie/
Appears in Collections:Economics Working Papers & Policy Papers

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