6
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Inferring risk preferences from a two-asset market

, &
Pages 65-71 | Published online: 20 Oct 2008

References

  • Adler , M. 1969 . On the risk–return trade-off in the valuation of assets . Journal of Financial and Quantitative Analysis , 4 Dec. : 493 – 512 .
  • Arrow , K. H. 1971 . Essays in the Theory of Risk Bearing , Amsterdam : North Holland .
  • Cass , D. and Stiglitz , J. E. 1972 . Risk aversion and wealth effects on portfolios with many assets . Review of Economic Studies , 39 July : 331 – 354 .
  • Fishburn , P. C. and Porter , R. B. 1976 . Optimal portfolios with one safe and one risky asset: effects of changes in rate of return and risk . Management Science , 22 June : 1064 – 1073 .
  • Friend , I. and Blume , M. E. 1975 . The demand for risky assets . American Economic Review , 65 Dec. : 900 – 922 .
  • Meyer , J. 1987 . Two moment decision models and expected utility maximization . American Economic Review , 77 June : 421 – 430 .
  • Morin , R. A. and Suarez , A. F. 1983 . Risk aversion revisited . Journal of Finance , 38 Sept. : 1201 – 1216 .
  • Pratt , J. W. 1964 . Risk aversion in the small and in the large . Econometrica , 32 Apr. : 122 – 136 .
  • Szpiro , G. G. 1986 . Measuring risk aversion: an alternative approach . Review of Economics and Statistics , 68 Feb. : 156 – 159 .
  • Tobin , J. 1958 . Liquidity preference as behavior towards risk . Review of Economic Studies , 25 Feb. : 65 – 86 .
  • Wolf , C. and Pohlman , L. 1983 . The recovery of risk preferences from actual choices . Econometrica , 51 May : 843 – 850 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.