화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.49, No.5, 1916-1937, 2011
RISK AVERSION AND PORTFOLIO SELECTION IN A CONTINUOUS-TIME MODEL
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.