Abstract
We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.
| Original language | English |
|---|---|
| Pages (from-to) | 179-193 |
| Number of pages | 15 |
| Journal | Theory and decision |
| Volume | 70 |
| Issue number | 2 |
| Early online date | 7 May 2010 |
| DOIs | |
| Publication status | Published - Feb 2011 |
Keywords
- Elasticity of risk aversion
- Mean
- Variance
ASJC Scopus subject areas
- General Decision Sciences
- Developmental and Educational Psychology
- Arts and Humanities (miscellaneous)
- Applied Psychology
- General Social Sciences
- Economics, Econometrics and Finance(all)
- Computer Science Applications
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