Risk Aversion in Chance Constrained Portfolio Selection

David H. Pyle and Stephen J Turnovsky
Additional contact information
David H. Pyle: University of California, Berkeley

Management Science, 1971, vol. 18, issue 3, 218-225

Abstract: In this paper, we discuss the effects of changes in investable wealth on investment behavior when portfolio choices are subject to a chance constraint. Alternative specifications of the chance constraint are shown to imply increasing, decreasing, or constant relative risk aversion with respect to changes in wealth.

Date: 1971
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.18.3.218 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:18:y:1971:i:3:p:218-225

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().