RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL

doi:10.1137/10080871X

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	RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL
	Xia, Jianming1,2
	2011
发表期刊	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN	0363-0129
卷号	49 期号:5 页码:1916-1937
摘要	The comparative statics of the optimal portfolios across individuals is carried out for the Black-Scholes market model. It turns out that the indirect utility functions inherit the order of risk aversion (in the Arrow-Pratt sense) from the von Neumann-Morgenstern utility functions, and therefore, a more risk-averse agent would invest less wealth (in absolute value) in the risky asset.
关键词	risk aversion portfolio selection Black-Scholes market model comparative statics
DOI	10.1137/10080871X
语种	英语
资助项目	National Basic Research Program of China (973 Program)[2007CB814902] ; NCMIS
WOS研究方向	Automation & Control Systems ; Mathematics
WOS类目	Automation & Control Systems ; Mathematics, Applied
WOS记录号	WOS:000296592500002
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12907
专题	应用数学研究所
通讯作者	Xia, Jianming
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing 100190, Peoples R China 2.Natl Univ Singapore, Dept Math, Singapore 119076, Singapore
推荐引用方式 GB/T 7714	Xia, Jianming. RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2011,49(5):1916-1937.
APA	Xia, Jianming.(2011).RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,49(5),1916-1937.
MLA	Xia, Jianming."RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 49.5(2011):1916-1937.