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Linear-risk-tolerant, invariant risk preferences. (English) Zbl 1254.91117

Summary: We identify 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.

MSC:

91B08 Individual preferences
91B30 Risk theory, insurance (MSC2010)
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References:

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