Linear-risk-tolerant, invariant risk preferences

Robert Chambers, J. Quiggin

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)


    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 languageEnglish
    Pages (from-to)303-309
    JournalEconomics Letters
    Issue number3
    Publication statusPublished - 2005


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