Kallberg, J. G.; Ziemba, W. T. - In: Management Science 29 (1983) 11, pp. 1257-1276
This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a … results agree well with the available theory and imply utility functions and parameter values that are appropriate for … functions having different functional forms and parameter values but "similar" absolute risk aversion indices have "similar …