Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87080
Authors: 
Kraeussl, Roman
Lucas, Andre
Siegmann, Arjen
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper 10-117/2/DSF 4
Abstract: 
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty.
Subjects: 
risk aversion
preference uncertainty
risk-taking
asset allocation
JEL: 
D81
D84
G11
Document Type: 
Working Paper

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