Linear risk tolerance and mean-variance preferences

We translate the property of linear risk tolerance (hyperbolical Arrow-Pratt index of risk aversion) from the expected-utility framework into a condition on the marginal rate of substitution between return and risk in the mean-variance approach.

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Year of publication:	2005-01-12
Authors:	Wagener, Andreas
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 4.2005, 1, p. 1-8
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	D8 - Information and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010629212