We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …

utility can be written as depending linearly on the mean and variance of income. …

linking the sign of the n-th derivative of an agent's utility function to her preferences among pairs of simple lotteries. We …. When the n-th derivative of the utility function is positive (negative) and n is odd (even), the agent prefers a lottery …