Estimating Risk Aversion from Arrow-Debreu Portfolio Choice
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Publication:3786240
DOI10.2307/1912707zbMath0643.90007MaRDI QIDQ3786240
Publication date: 1988
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912707
necessary and sufficient conditions; expected utility; portfolio choice; absolute risk aversion; Arrow-Debreu choices of contingent consumption
91B16: Utility theory