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首页> 外文期刊>Theory and Decision >Risk aversion, prudence, and asset allocation: a review and some new developments
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Risk aversion, prudence, and asset allocation: a review and some new developments

机译：风险规避，审慎和资产分配：回顾和一些新进展

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摘要

In this paper, we consider the composition of an optimal portfolio made of two dependent risky assets. The investor is first assumed to be a risk-averse expected utility maximizer, and we recover the existing conditions under which all these investors hold at least some percentage of their portfolio in one of the assets. Then, we assume that the decision maker is not only risk-averse, but also prudent and we obtain new minimum demand conditions as well as intuitively appealing interpretations for them. Finally, we consider the general case of investor's preferences exhibiting risk apportionment of any order and we derive the corresponding minimum demand conditions. As a byproduct, we obtain conditions such that an investor holds either a positive quantity of one of the assets (positive demand condition) or a proportion greater than 50 % (i.e., the "50 % rule").
机译：在本文中，我们考虑由两个相关风险资产构成的最优投资组合的组成。首先假定投资者是规避风险的预期效用最大化者，然后我们恢复了所有这些投资者在其中一项资产中至少持有其投资组合一定比例的现有条件。然后，我们假设决策者不仅是规避风险的，而且是审慎的，并且我们获得了新的最低需求条件以及对其的直观理解。最后，我们考虑表现出任何订单风险分摊的投资者偏好的一般情况，并得出相应的最低需求条件。作为副产品，我们获得的条件使投资者持有资产之一的正数（正需求条件）或大于50％的比例（即“ 50％规则”）。

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