Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation
نویسندگان
چکیده
منابع مشابه
Optimal consumption and portfolio strategies when relative risk aversion from consumption differs from relative risk aversion from wealth
Relative risk aversion (RRA) of consumption (RRAC) differs from RRA of wealth (RRAW) is an empirical fact explained in the study of Meyer and Meyer (2005). However dynamic consumption/ investment problems are only solved in the finance literature when both RRA equal (RRAC = RRAW). Following the martingale route, we derive optimal consumption and investment solutions for a (CRRA) investor when b...
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An axiomatic characterization of recursive utility with source-dependent constant relative risk aversion (CRRA), constant elasticity of intertemporal substitution, constant rate of impatience and subjective beliefs is established. The utility form is a minimal extension of Epstein-Zin-Weil utility that allows the CRRA to depend on the source of risk, a dependence that admits an ambiguity aversi...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2633430