Risk Aversion and Portfolio Selection in a Continuous-Time Model
نویسندگان
چکیده
منابع مشابه
Risk Aversion and Portfolio Selection in a Continuous-Time Model
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and deterministic coefficients. It turns out that the indirect utility functions inherit the order of risk aversion (in the Arrow-Pratt sense) from the von Neumann-Morge...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2011
ISSN: 0363-0129,1095-7138
DOI: 10.1137/10080871x