Risk Aversion in Chance Constrained Portfolio Selection
Published Online:1 Nov 1971https://doi.org/10.1287/mnsc.18.3.218
Abstract
In this paper, we discuss the effects of changes in investable wealth on investment behavior when portfolio choices are subject to a chance constraint. Alternative specifications of the chance constraint are shown to imply increasing, decreasing, or constant relative risk aversion with respect to changes in wealth.
