{"product_id":"portfolio-selection-with-random-risk-preference-von-turan-bulmus","title":"Portfolio Selection with Random Risk Preference","description":"\u003cp\u003eIn this study, I analyzed a single-period portfolio  selection problem where the investor maximizes the  expected utility of the terminal wealth. The utility  function is exponential, but the Pratt-Arrow measure of  absolute risk aversion or risk tolerance is random.  This is due to the random variations in individual''s  decisions concerning stochastic choice. It is well- known that the investor is memoryless in wealth for  exponential utility functions with a constant risk  tolerance. In other words, the investment portfolio  consisting of risky stocks does not depend on the level  of wealth. However, it is shown that this is no longer  true if risk tolerance is random. A number of  interesting characterizations on the structure of the  optimal policy are obtained\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838350851\"\u003e\u003ch3\u003eA mathematical approach to portfolio selection problem concerning random risk tolerance\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838350851","offer_id":39499075846237,"sku":"9783838350851","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/7e2ce15b-9251-4df9-9e52-831ce60df5b3.jpg?v=1773381783","url":"https:\/\/shop.autorenwelt.de\/en\/products\/portfolio-selection-with-random-risk-preference-von-turan-bulmus","provider":"Autorenwelt Shop","version":"1.0","type":"link"}