Download This PaperUpper Bounds on Risk Aversion Under Mean-Variance Utility
5 Pages Posted: 10 Jun 2019
Date Written: February 7, 2019
Abstract
Based on a simple prior, this note derives upper bounds for the coefficient of absolute & relative risk aversion if utility can be written as depending linearly on the mean and variance of income.
Keywords: risk aversion, mean-variance utility
JEL Classification: D80
Suggested Citation: Suggested Citation
Denny, Kevin, Upper Bounds on Risk Aversion Under Mean-Variance Utility (February 7, 2019). Available at SSRN: https://ssrn.com/abstract=3393383 or http://dx.doi.org/10.2139/ssrn.3393383
Kevin Denny (Contact Author)
University College Dublin (UCD) - Department of Economics ( email )
Belfield
Dublin 4, Dublin 4
Ireland
+353 1 706 8399 (Phone)
+353 1 283 0068 (Fax)
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