Linear-risk-tolerant, invariant risk preferences

This note identifies the class of preferences which simultaneously satisfy invariance, two-fund portfolio separation, and linear risk tolerance. It also considers the implications for asset demand and asset pricing of this class of preferences.

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Bibliographic Details
Published inEconomics letters Vol. 86; no. 3; pp. 303 - 309
Main Authors Chambers, Robert G., Quiggin, John
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.03.2005
Elsevier
SeriesEconomics Letters
Subjects
Asset demand
Economics
Preferences
Risk
Uncertainty
Asset demand
G12
Uncertainty
D81
Preferences
G11
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Summary:This note identifies the class of preferences which simultaneously satisfy invariance, two-fund portfolio separation, and linear risk tolerance. It also considers the implications for asset demand and asset pricing of this class of preferences.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2004.08.003