| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1611 |
| 来源ID | Working Paper 1611 |
| Aspects of Investor Behavior Under Risk | |
| Benjamin M. Friedman; V. Vance Roley | |
| 发表日期 | 1985-04-01 |
| 出版年 | 1985 |
| 语种 | 英语 |
| 摘要 | The three sections of this paper support three related conclusions. First, asset demands with the familiar properties of wealth homogeneity and linearity in expected returns follow as close approximations from expected utility maximizing behavior under the assumptions of constant relative risk aversion and joint normally distributed asset returns. Second, although such asset demands exhibit a symmetric coefficient matrix with respect to the relevant vector of expected asset returns, symmetry is not a general property, and the available empirical evidence warrants rejecting it for both institutional and individual investors in the United States. Finally, in a manner analogous to the finite maximum exhibited by quadratic utility, a broad class of mean-variance utility functions also exhibits a form of wealth satiation which necessarily restricts it range of applicability. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w1611 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558852 |
| 推荐引用方式 GB/T 7714 | Benjamin M. Friedman,V. Vance Roley. Aspects of Investor Behavior Under Risk. 1985. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1611.pdf（355KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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