Symmetric Substitution Matrices in Asset Demand Systsems

David S. Jones

No 574, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper, necessary and sufficient conditions for an asset substitution matrix to be symmetric for all distributions of rates of return are derived. It is found that symmetry in this context is essentially equivalent to the proposition that the von Neumann-Morgenstern utility function displays either constant absolute or constant relative risk aversion, depending upon whether the substitution matrix is defined in terms of arithmetic or geometric rates of return.

Date: 1980-10
Note: ME
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