Increases in risk aversion and the distribution of portfolio payoffs

• 成果类型: Article
• 署名作者: Dybvig, Philip H.; Wang, Yajun
• 署名单位: Washington University (WUSTL); University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.11.009
• 发表日期: 2012
• 页码: 1222-1246
• 关键词: Risk aversion; portfolio theory; stochastic dominance; complete markets; Two-fund separation

摘要

Oliver Hart proved the impossibility of deriving general comparative static properties in portfolio weights. Instead, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff A's payoff is always distributed as B's payoff plus a non-negative random variable plus conditional-mean-zero noise. If either agent has nonincreasing absolute risk aversion, the non-negative part can be chosen to be constant. The main result also holds in some incomplete markets with two assets or two-fund separation, and in multiple periods for a mixture of payoff distributions over time (but not at every point in time). (C) 2011 Elsevier Inc. All rights reserved.