Risk Aversion in Chance Constrained Portfolio Selection
- 1 November 1971
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Management Science
- Vol. 18 (3) , 218-225
- https://doi.org/10.1287/mnsc.18.3.218
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.Keywords
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