Linear-risk-tolerant, invariant risk preferences

Robert Chambers; J. Quiggin

doi:10.1016/j.econlet.2004.08.003

Linear-risk-tolerant, invariant risk preferences

Robert Chambers, J. Quiggin

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

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. (c) 2004 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	303-309
Journal	Economics Letters
Volume	86
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2004.08.003
Publication status	Published - 2005

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title = "Linear-risk-tolerant, invariant risk preferences",

abstract = "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. (c) 2004 Elsevier B.V. All rights reserved.",

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language = "English",

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journal = "Economics Letters",

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AU - Quiggin, J.

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AB - 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. (c) 2004 Elsevier B.V. All rights reserved.

U2 - 10.1016/j.econlet.2004.08.003

DO - 10.1016/j.econlet.2004.08.003

M3 - Article

SN - 0165-1765

VL - 86

SP - 303

EP - 309

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Linear-risk-tolerant, invariant risk preferences

Abstract

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