Risk Aversion in Chance Constrained Portfolio Selection

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.

• 저널Management Science · 18(3) · 218–225
• 토픽Economic theories and models · Economics and Econometrics
• DOI10.1287/mnsc.18.3.218
• 저자David H. Pyle, Stephen J. Turnovsky