THE GEOMETRY OF RISK-AVERSION - A FURTHER COMMENT

Authors
DALAL AJ
Citation
Aj. Dalal, THE GEOMETRY OF RISK-AVERSION - A FURTHER COMMENT, Journal of economics and business, 45(2), 1993, pp. 183-188
Citations number
3
Categorie Soggetti
Economics,"Business Finance
Journal title
Journal of economics and business → ACNP
ISSN journal
01486195
Volume
45
Issue
2
Year of publication
1993
Pages
183 - 188
Database
ISI
SICI code
0148-6195(1993)45:2<183:TGOR-A>2.0.ZU;2-C
Abstract
This paper corrects errors in two earlier attempts in this journal [Ha wawini (1986) and Sun (1990)] to analyze a simple portfolio model geom etrically. It also points out that the general approach taken by these authors has serious shortcomings. For example, an unmodified use of t heir technique does not permit one to derive the result that optimal r isky investment is inversely related to risk if the utility function i s quadratic.