Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1000160 | The Spanish Review of Financial Economics | 2012 | 12 Pages |
Abstract
Previous research on the effects of constraints to take unbounded positions in risky financial assets shows that, under the logarithmic utility function, multiplicity of equilibrium may emerge. This paper shows that this result is robust to either constant, decreasing or increasing relative risk aversion obtained under the generalized logarithmic utility function.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Alex Barrachina, Gonzalo Rubio, Amparo Urbano,