TY - JOUR
AU - Jones,David S.
TI - Symmetric Substitution Matrices in Asset Demand Systsems
JF - National Bureau of Economic Research Working Paper Series
VL - No. 574
PY - 1980
Y2 - October 1980
DO - 10.3386/w0574
UR - http://www.nber.org/papers/w0574
L1 - http://www.nber.org/papers/w0574.pdf
N1 - Author contact info:
David S. Jones
Federal Reserve Board
20th and Constitution Avenue, NW
Washington, DC 20551
Tel: NA
AB - In this paper, necessary and sufficient conditions for an asset substitution matrix to be symmetric for all distributions of rates of return are derived. It is found that symmetry in this context is essentially equivalent to the proposition that the von Neumann-Morgenstern utility function displays either constant absolute or constant relative risk aversion, depending upon whether the substitution matrix is defined in terms of arithmetic or geometric rates of return.
ER -