Upper Bounds on Risk Aversion under Mean-variance Utility
Kevin Denny ()
No 201902, Working Papers from School of Economics, University College Dublin
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.
Keywords: Risk aversion; Mean-variance utility; Risk tolerance (search for similar items in EconPapers)
JEL-codes: D80 (search for similar items in EconPapers)
Pages: 4 pages
New Economics Papers: this item is included in nep-rmg and nep-upt
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http://hdl.handle.net/10197/9632 First version, 2019 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:201902
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