Upper Bounds on Risk Aversion under Mean-variance Utility
|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 aversion; Mean-variance utility; Risk tolerance||JEL Codes:||D80||Language:||en||Status of Item:||Not peer reviewed||This item is made available under a Creative Commons License:||https://creativecommons.org/licenses/by-nc-nd/3.0/ie/|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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