Typical risk aversion parameter value for mean-variance optimization?

What are typical values for risk aversion parameters $\lambda$ used in mean-variance optimization? Please provide references.

Just to be clear, I'm talking about the $\lambda$ in $U(w) = w'\mu - \frac{\lambda}{2} w' \Sigma w$, the utility function in mean-variance optimization.

• Shouldn't it be "-" the variance term?!? Jul 7, 2013 at 18:33
• @vonjd You are right. Just edited. Jul 9, 2013 at 0:45
• I have a somewhat related question on Economics SE. Aug 16, 2019 at 6:41

Typical risk aversion levels lie between one and ten.

See pages 11f. in the following paper:
Preferences by Andrew Ang

EDIT: The paper was a preprint, the final source is the following book:

Asset Management: A Systematic Approach to Factor Investing (Financial Management Association Survey and Synthesis) 1st Edition by Andrew Ang

• Thanks for the response. That is the risk aversion parameter for CARA utility though, not for mean-variance utility. Unless you are suggesting there is a direct way to transform into the latter? (I don't think so. The latter is not unitless and depends on the unit in which you measure returns) Jul 9, 2013 at 1:05
• Please read the paper first: On page 29 it e.g. says: "The mean-variance solution in equation (10) turns out to be the same as CRRA utility (see equation (1)) if returns are log-normally distributed. This is one sense that mean-variance and CRRA are the same." Jul 9, 2013 at 8:02