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- Title
DECREASING RISK AVERSION AND MEAN-VARIANCE ANALYSIS.
- Authors
Epstein, Larry G.
- Abstract
This paper formulates a set of decreasing-absolute-risk-aversion postulates and shows that only mean-variance utility functionals can satisfy them. These postulates are used to axiomatize specific classes of mean-variance functionals. Finally, an equivalence is established between these postulates and corresponding comparative statics properties of asset demands in two-asset portfolio problems.
- Subjects
RISK; RISK aversion; UTILITY theory; MATHEMATICAL models; VARIANCES; STATISTICS; ANALYSIS of variance; FUNCTIONALS; FUNCTIONAL analysis; STATISTICAL functionals
- Publication
Econometrica, 1985, Vol 53, Issue 4, p945
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/1912662