Linear-risk-tolerant, invariant risk preferences

DOI10.1016/J.ECONLET.2004.08.003zbMATH Open1254.91117OpenAlexW1993233875MaRDI QIDQ1927751FDOQ1927751

Authors: Robert G. Chambers, J. Quiggin 

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/151162/files/WPR04_3.pdf

Recommendations

• Invariant risk attitudes
• Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
• Jointly radial and translation homothetic preferences: Generalized constant risk aversion
• Incremental risk aversion and diversification preference
• Asset Demand Without the Independence Axiom

zbMATH Keywords

uncertaintypreferencesasset demand

Mathematics Subject Classification ID

Individual preferences (91B08)

Cites Work

• Title not available (Why is that?)
• Benefit functions and duality
• Benefit and distance functions
• Title not available (Why is that?)
• A Theoretical Treatment of Indices of Absolute Inequality
• Constant risk aversion
• Risk premiums and benefit measures for generalized-expected-utility theories
• Invariant risk attitudes

Cited In (3)

• Invariant risk attitudes
• Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
• Jointly radial and translation homothetic preferences: Generalized constant risk aversion

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