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(DP 1983-07) Portfolio Choice and Risk
UPSE Discussion Papers
View Archive Info| Field | Value | |
| Title |
(DP 1983-07) Portfolio Choice and Risk
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| Creator |
Encarnacion, Jr., Jose
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| Description |
Risk aversion and the riskiness of assets are interpreted in terms of a model of portfolio choice where the maximand is conditional on the probability of satisfying a minimum constraint on the future value of the portfolio. It is a consequence that the riskiness of the average asset in the portfolio increases with wealth, and when expected value is the maximand, low-risk low-return assets are inferior goods. The model also gives straightforward explanations of the Allais paradox and other puzzling patterns of choice under risk.
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| Publisher |
UPSE Discussion Papers
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| Contributor |
—
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| Date |
2010-08-31
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.econ.upd.edu.ph/dp/index.php/dp/article/view/312
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| Source |
UPSE Discussion Papers; 1983
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| Language |
eng
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| Relation |
http://www.econ.upd.edu.ph/dp/index.php/dp/article/view/312/371
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