Linear risk tolerance and mean-variance preferences
Economics Bulletin, 2005, vol. 4, issue 1, 1-8
We translate the property of linear risk tolerance (hyperbolical Arrow-Pratt index of risk aversion) from the expected-utility framework into a condition on the marginal rate of substitution between return and risk in the mean-variance approach.
JEL-codes: D8 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-05d80001
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().