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Relative Risk Aversion: Increasing or Decreasing?

Philip E. Graves

Journal of Financial and Quantitative Analysis · 1979 · Volume 14 · Issue 2

DOI: 10.2307/2330498

Abstract

The existence of risk aversion in portfolio theory can be explained by positing a concave utility function of wealth. In some cases it is useful to construct some measure of risk aversion rather than merely accept its existence.

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