Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
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 …
