Abstract
Investment behavior in a portfolio choice situation with one risky and one riskless asset reflects investors' attitude toward risk. A higher fraction of wealth invested in a risky asset indicates smaller risk aversion. We examine the equivalence of this way of measuring risk aversion with the standard way based on the Arrow-Pratt measure in several cases distinguished by specification of short-sales restrictions for both assets.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 259-265 |
| Number of pages | 7 |
| Journal | Economics Letters |
| Volume | 45 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1994 |