Once the 500 trajectories are computed, they are plugged into a lifetime utility function, whose degree of risk aversion is specified by the client via a simple question about their risk tolerance.

This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio. Normally distributed assets are the setting for the ...

Understanding Hyperbolic Absolute Risk Aversion . ARA is a means of measuring risk avoidance via a convenient mathematical equation. If all investors are assumed to have similar utility functions ...