Details
| Original language | English |
|---|---|
| Pages (from-to) | 179-193 |
| Number of pages | 15 |
| Journal | Theory and decision |
| Volume | 70 |
| Issue number | 2 |
| Early online date | 7 May 2010 |
| Publication status | Published - Feb 2011 |
Abstract
We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.
Keywords
- Elasticity of risk aversion, Mean, Variance
ASJC Scopus subject areas
- Decision Sciences(all)
- Psychology(all)
- Developmental and Educational Psychology
- Arts and Humanities(all)
- Arts and Humanities (miscellaneous)
- Psychology(all)
- Applied Psychology
- Social Sciences(all)
- Economics, Econometrics and Finance(all)
- Computer Science(all)
- Computer Science Applications
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In: Theory and decision, Vol. 70, No. 2, 02.2011, p. 179-193.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Portfolio allocation and asset demand with mean-variance preferences
AU - Eichner, Thomas
AU - Wagener, Andreas
PY - 2011/2
Y1 - 2011/2
N2 - We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.
AB - We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.
KW - Elasticity of risk aversion
KW - Mean
KW - Variance
UR - http://www.scopus.com/inward/record.url?scp=78650609215&partnerID=8YFLogxK
U2 - 10.1007/s11238-010-9217-4
DO - 10.1007/s11238-010-9217-4
M3 - Article
AN - SCOPUS:78650609215
VL - 70
SP - 179
EP - 193
JO - Theory and decision
JF - Theory and decision
SN - 0040-5833
IS - 2
ER -