Portfolio choice under noisy asset returns

被引：1
|
作者：
Gollier, C
Schlesinger, H
机构：
[1] UNIV ALABAMA,DEPT ECON & FINANCE,TUSCALOOSA,AL 35487
[2] UNIV TOULOUSE 1,IDEI,F-31042 TOULOUSE,FRANCE
来源：
ECONOMICS LETTERS | 1996年 / 53卷 / 01期
关键词：
portfolio choice; increases in risk; standard risk aversion;
D O I：
10.1016/S0165-1765(96)00890-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The lack of a clear effect of increases in risk upon the demand for risky assets has led to many restrictions on the types of risk increases and/or on consumer preferences, in order to obtain unambiguous comparative statics. This paper examines the particularly simple, yet overlooked, case of white noise added to the return distribution. It is shown that Kimball's standard risk aversion is sufficient for noise to lead to reduced demand for risky assets.
引用
收藏
页码：47 / 51
页数：5
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