search query: @author Ziemba, W. T. / total: 14
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| Author: | Li, Y. Ziemba, W. T. |
| Title: | Characterizations of optimal portfolios by univariate and multivariate risk aversion. |
| Journal: | Management Science
1989 : MAR, VOL. 35:3, p. 259-269 |
| Index terms: | PORTFOLIO INVESTMENT RISK |
| Language: | eng |
| Abstract: | In the risk-free versus risky investment case, Arrow, Pratt, Cass and Stiglitz have shown that, if the portfolio is characterized by proportional holdings in different investments, then the Arrow-Pratt measure of relative risk aversion will be associated with the proportional allocation of investments and statistical properties of the portfolio. In the case of two risky investments with returns having a bivariate normal distribution, established are theorems concerning the relationship between Rubinstein's measure of relative risk aversion and proportional allocation in the two investments and some statistical properties. |
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