Risk aversion and portfolio selection in a continuous-time model

Please use this identifier to cite or link to this item: https://doi.org/10.1137/10080871X

Title:	Risk aversion and portfolio selection in a continuous-time model
Authors:	Xia, J.
Keywords:	Black-Scholes market model Comparative statics Portfolio selection Risk aversion
Issue Date:	2011
Citation:	Xia, 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
Abstract:	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. © 2011 Society for Industrial and Applied Mathematics.
Source Title:	SIAM Journal on Control and Optimization
URI:	http://scholarbank.nus.edu.sg/handle/10635/104063
ISSN:	03630129
DOI:	10.1137/10080871X
Appears in Collections:	Staff Publications

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