Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9549249 | Economics Letters | 2005 | 7 Pages |
Abstract
This note identifies the class of preferences which simultaneously satisfy invariance, two-fund portfolio separation, and linear risk tolerance. It also considers the implications for asset demand and asset pricing of this class of preferences.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Robert G. Chambers, John Quiggin,