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Risk Aversion in Chance Constrained Portfolio Selection

Author

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  • David H. Pyle

    (University of California, Berkeley)

  • Stephen J. Turnovsky

    (University of Toronto)

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.

Suggested Citation

  • David H. Pyle & Stephen J. Turnovsky, 1971. "Risk Aversion in Chance Constrained Portfolio Selection," Management Science, INFORMS, vol. 18(3), pages 218-225, November.
    • Handle: RePEc:inm:ormnsc:v:18:y:1971:i:3:p:218-225
    DOI: 10.1287/mnsc.18.3.218
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    Cited by:

    1. Zhiping Chen & Shen Peng & Abdel Lisser, 2020. "A sparse chance constrained portfolio selection model with multiple constraints," Journal of Global Optimization, Springer, vol. 77(4), pages 825-852, August.
    2. Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.

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