Portfolio characterization of risk aversion

Zhenyu Wang, Jan Werner

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

Investment behavior in a portfolio choice situation with one risky and one riskless asset reflects investors' attitude toward risk. A higher fraction of wealth invested in a risky asset indicates smaller risk aversion. We examine the equivalence of this way of measuring risk aversion with the standard way based on the Arrow-Pratt measure in several cases distinguished by specification of short-sales restrictions for both assets.

Original languageEnglish (US)
Pages (from-to)259-265
Number of pages7
JournalEconomics Letters
Volume45
Issue number2
DOIs
StatePublished - 1994

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