TY  - UNPD
A1  - Kräussl, Roman
A1  - Lucas, André
A1  - Siegmann, Arjen
T1  - Risk aversion under preference uncertainty
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,24
N2  - We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. Keywords: Risk Aversion , Preference Uncertainty , Risk-taking , Asset Allocation JEL Classification: D81, D84, G11 This Version: November 25, 2010
T3  - CFS working paper series - 2010, 24 
KW  - Risk Aversion
KW  - Preference Uncertainty
KW  - Risk-taking
KW  - Asset Allocation
KW  - Nutzenfunktion
KW  - Risikoaversion
KW  - Portfolio Selection
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/20479
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-87127
IS  - 25 November 2010
ER  -