Estimating Risk Aversion from Arrow-Debreu Portfolio Choice

DOI10.2307/1912707MaRDI QIDQ3786240zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Portfolio characterization of risk aversion
• Univariate and multivariate measures of risk aversion and risk premiums
• Portfolio Choices in the Presence of Other Risks
• Invariant risk attitudes
• Measures of risk aversion with expected and nonexpected utility

Cited in

(5)

• Time Dependent Relative Risk Aversion
• 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
• scientific article; zbMATH DE number 5630683 (Why is no real title available?)

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