A Note on Risk Aversion and Indifference Curves

Yakov Amihud

Journal of Financial and Quantitative Analysis, 1977, vol. 12, issue 3, 509-513

Abstract: In his recent paper in this Journal, Miller [3] proposed, following Adler's results [1], that “the investor exhibits decreasing absolute risk aversion with respect to expected wealth if, as increased holding σ constant, the slope of the indifference loci decreases” [3, p. 301]. He further attempted to have shown that in general the sign of () is the same as the sign of r'(W) (the derivative of the absolute risk aversion measure), but this is not proved.

Date: 1977
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