Linear-risk-tolerant, invariant risk preferences

DOI10.1016/J.ECONLET.2004.08.003MaRDI QIDQ1927751zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

uncertaintypreferencesasset demand

Mathematics Subject Classification ID

Individual preferences (91B08)

Recommendations

• Invariant risk attitudes
• Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
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• Asset Demand Without the Independence Axiom

Cites work

• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• A Theoretical Treatment of Indices of Absolute Inequality
• Benefit and distance functions
• Benefit functions and duality
• Constant risk aversion
• Invariant risk attitudes
• Risk premiums and benefit measures for generalized-expected-utility theories

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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