Variance aversion implies mu-sigma(2)-criterion
成果类型：
Article
署名作者：
Loffler, A
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1996.0067
发表日期：
1996
页码：
532-539
关键词：
摘要：
It is shown that if traded portfolios form a convex cone (of dimension greater than two) containing the riskless asset, strict variance aversion and strict monotonicity in the riskless asset imply the mu-sigma(2)-criterion. (C) 1996 Academic Press, Inc.