Finkelshtain, Israel; Chalfant, James A. - In: Management Science 39 (1993) 8, pp. 925-936
The effects of multivariate risk are examined in a model of portfolio choice. The conditions under which portfolio … generalizing the usual measures of risk aversion. With one risky asset, matrix measures of risk aversion are used to generalize the … results of Arrow (1965) and Pratt (1964) concerning the effects of risk aversion and wealth on the optimal portfolio. With two …