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