Details
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 179-193 |
Seitenumfang | 15 |
Fachzeitschrift | Theory and decision |
Jahrgang | 70 |
Ausgabenummer | 2 |
Frühes Online-Datum | 7 Mai 2010 |
Publikationsstatus | Veröffentlicht - 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.
ASJC Scopus Sachgebiete
- Entscheidungswissenschaften (insg.)
- Allgemeine Entscheidungswissenschaften
- Psychologie (insg.)
- Pädagogische und Entwicklungspsychologie
- Geisteswissenschaftliche Fächer (insg.)
- Geisteswissenschaftliche Fächer (sonstige)
- Psychologie (insg.)
- Angewandte Psychologie
- Sozialwissenschaften (insg.)
- Allgemeine Sozialwissenschaften
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Informatik (insg.)
- Angewandte Informatik
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in: Theory and decision, Jahrgang 70, Nr. 2, 02.2011, S. 179-193.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › 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 -