Estimating Risk Aversion from Arrow-Debreu Portfolio Choice

DOI10.2307/1912707zbMATH Open0643.90007OpenAlexW1964383288MaRDI QIDQ3786240FDOQ3786240

Authors: Hal R. Varian 

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912707

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zbMATH Keywords

expected utilityportfolio choicenecessary and sufficient conditionsabsolute risk aversionArrow-Debreu choices of contingent consumption

Mathematics Subject Classification ID

Utility theory (91B16)

Cited In (5)

• Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
• Calibrating the wealth effects of decoupled payments: does decreasing absolute risk aversion matter?
• On the magnitude of relative risk aversion
• Title not available (Why is that?)
• Time Dependent Relative Risk Aversion

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