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RISK AVERSION IN CHANCE CONSTRAINED PORTFOLIO SELECTION.

Authors :
Pyle, David H.
Turnovsky, Stephen J.
Source :
Management Science; Nov71, Vol. 18 Issue 3, p218-225, 8p
Publication Year :
1971

Abstract

In this paper, we discuss the effects of changes in investable wealth on investment behavior when portfolio choices are subject to a chance constraint. Alternative specifications of the chance constraint are shown to imply increasing, decreasing, or constant relative risk aversion with respect to changes in wealth. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
MATHEMATICAL models of investments
RISK aversion
PORTFOLIO management (Investments)
RISK-taking behavior
INVESTORS
INVESTMENT analysis
WEALTH
RATE of return
UTILITY theory
DECISION making
MANAGEMENT science

Details

Language :
English
ISSN :
00251909
Volume :
18
Issue :
3
Database :
Complementary Index
Journal :
Management Science
Publication Type :
Academic Journal
Accession number :
7153663
Full Text :
https://doi.org/10.1287/mnsc.18.3.218
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