文章基本信息

标题：Linear risk tolerance and mean-variance preferences
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作者：Andreas Wagener
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2005
卷号：4
出版社：Economics Bulletin
摘要：We translate the property of linear risk tolerance (hyperbolical Arrow-Pratt index of risk aversion) from the expected-utility framework into a condition on the marginal rate of substitution between return and risk in the mean-variance approach.