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Andreas Wagener
''Linear risk tolerance and mean-variance preferences''
( 2005, Vol. 4 No.1 )
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.
JEL: D8 - Information, Knowledge, and Uncertainty: General
Manuscript Received : Jan 12 2005 Manuscript Accepted : Jan 12 2005

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