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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-Morgenstern utility functions, and therefore, a more risk-averse agent would invest less wealth (in absolute value) in the risky assets.

preprint2011arXivOpen access
Jianming Xia
math.OCmath.PRq-fin.PM
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Open access1 author3 topics
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Jianming Xia

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