Broll, Udo; Gilroy, Bernard Michael; Wahl, Jack E. - 2003
Based upon the foundations of mean-variance decision-making theory, we demonstrate that a change in the risk situation …. Given a new risk situation, whether a revision of the hedging-strategy is appropriate will depend upon the elasticity of … risk aversion. The elasticity of risk aversion is a decisive indicator; however, it is rarely scrutinized in the literature …