TY  - JOUR
AU  - Friedman,Benjamin M.
AU  - Roley,V. Vance
TI  - Aspects of Investor Behavior Under Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1611
PY  - 1987
Y2  - October 1987
UR  - http://www.nber.org/papers/w1611
L1  - http://www.nber.org/papers/w1611.pdf
N1  - Author contact info:
Benjamin M. Friedman
Department of Economics
Littauer Center 127
Harvard University
Cambridge, MA  02138
Tel: 617/495-4246
Fax: 617/495-7730
E-Mail: bfriedman@harvard.edu

V. Vance Roley
Department of Finance/DJ-10
Graduate School of Business
University of Washington
Seattle, WA  98195
Tel: 206/545-7476
E-Mail: vroley@u.washington.edu
AB  - The three sections of this paper support three related conclusions. First, asset demands with the familiar properties of wealth homogeneity and linearity in expected returns follow as close approximations from expected utility maximizing behavior under the assumptions of constant relative risk aversion and joint normally distributed asset returns. Second, although such asset demands exhibit a symmetric coefficient matrix with respect to the relevant vector of expected asset returns, symmetry is not a general property, and the available empirical evidence warrants rejecting it for both institutional and individual investors in the United States. Finally, in a manner analogous to the finite maximum exhibited by quadratic utility, a broad class of mean-variance utility functions also exhibits a form of wealth satiation which necessarily restricts it range of applicability.
ER  -