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Increasing risk aversion and life-cycle investing |
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| Authors: | Back Kerry Liu Ruomeng Teguia Alberto |
| Affiliation: | 1.Jones Graduate School of Business and Department of Economics, Rice University, Houston, TX, 77005, USA ;2.College of Business, University of Nebraska-Lincoln, Lincoln, NE, 68588, USA ;3.Sauder School of Business, University of British Columbia, Vancouver, BC, V6T 1Z2, Canada ; |
| Abstract: | Mathematics and Financial Economics - We derive the optimal portfolio for an investor with increasing relative risk aversion in a complete continuous-time securities market. The IRRA assumption... |
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