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Please use this identifier to cite or link to this item: https://doi.org/10.1137/10080871X
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dc.titleRisk aversion and portfolio selection in a continuous-time model
dc.contributor.authorXia, J.
dc.date.accessioned2014-10-28T02:44:49Z
dc.date.available2014-10-28T02:44:49Z
dc.date.issued2011
dc.identifier.citationXia, J. (2011). Risk aversion and portfolio selection in a continuous-time model. SIAM Journal on Control and Optimization 49 (5) : 1916-1937. ScholarBank@NUS Repository. https://doi.org/10.1137/10080871X
dc.identifier.issn03630129
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/104063
dc.description.abstractThe 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. © 2011 Society for Industrial and Applied Mathematics.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1137/10080871X
dc.sourceScopus
dc.subjectBlack-Scholes market model
dc.subjectComparative statics
dc.subjectPortfolio selection
dc.subjectRisk aversion
dc.typeArticle
dc.contributor.departmentMATHEMATICS
dc.description.doi10.1137/10080871X
dc.description.sourcetitleSIAM Journal on Control and Optimization
dc.description.volume49
dc.description.issue5
dc.description.page1916-1937
dc.description.codenSJCOD
dc.identifier.isiut000296592500002
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