Estimating Risk Aversion from Arrow-Debreu Portfolio Choice
推导了Arrow-Debreu或有消费选择与递增或递减绝对/相对风险厌恶的期望效用函数相容的充要条件，并利用单次投资组合观察来界定风险厌恶度量。
This paper derives necessary and sufficient conditions for Arrow-Debreu choices of contingent consumption to be compatibl e with the maximization of a state-independent expected utility funct ion that exhibits increasing or decreasing absolute risk aversion, or increasing or decreasing relative risk aversion. The conditions can be used to bound different measures of risk aversion based on a singl e observation of Arrow-Debreu portfolio choice. Copyright 1988 by The Econometric Society.