RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL
文献类型：期刊论文
| 作者 | Xia, Jianming1,2
|
| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 出版日期 | 2011 |
| 卷号 | 49期号:5页码:1916-1937 |
| 关键词 | risk aversion portfolio selection Black-Scholes market model comparative statics |
| ISSN号 | 0363-0129 |
| DOI | 10.1137/10080871X |
| 英文摘要 | 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. |
| 语种 | 英语 |
| WOS记录号 | WOS:000296592500002 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/12906]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Xia, Jianming |
| 作者单位 | 1.Natl Univ Singapore, Dept Math, Singapore 119076, Singapore 2.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing 100190, Peoples R China |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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