Non-parametric upper bounds on risk aversion with mean-variance utility

Kevin Denny

No dn2q8, SocArXiv from Center for Open Science

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.

Date: 2021-03-09
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:dn2q8

DOI: 10.31219/osf.io/dn2q8

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