Econometrica Vol. 57 No. 1 1989
Asset Demand Without the Independence Axiom
Abstract
An important application of the theory of choice under uncertainty is to asset markets, and an important property in these markets is a preference for portfolio diversification. If an investor is an expected utility maximizer, then (s)he is risk averse if and only if (s)he exhibits a preference for diversification. This paper examines the relationship between risk aversion and portfolio diversification when preferences over probability distributions of wealth do not have an expected utility representation
- DOI
- 10.2307/1912577
- Volume
- 57
- Issue
- 1
- Pages
- 163
- Sources
- bibtex:phds-export.bib openalex crossref