Risk aversion under preference uncertainty

Roman Kräussl, Andre Lucas and Arjen Siegmann

No 2010/24, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty.

Keywords: Risk Aversion; Preference Uncertainty; Risk-taking; Asset Allocation (search for similar items in EconPapers)
JEL-codes: D81 D84 G11 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/43233/1/641477090.pdf (application/pdf)

Related works:
Journal Article: Risk aversion under preference uncertainty (2012)
Working Paper: Risk Aversion under Preference Uncertainty (2010)
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:zbw:cfswop:201024

Access Statistics for this paper

More papers in CFS Working Paper Series from Center for Financial Studies (CFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().