风险厌恶的投资者对风险资产的选择行为研究

Research on the Porfolio Selection of Risk-Averse Investors

在现代金融经济学教程中,有这样一个反映风险厌恶的投资者对风险资产选择行为的结果:严格地喜多厌少且厌恶风险的投资者对风险资产投资的充分必要条件是至少有一种风险资产的收益率高于无风险资产的收益率.但这一结论仅对只有一种风险资产的情形成立,通过示例指出原命题证明的错误所在,并将给出一些有关风险厌恶的投资者对多种见险资产选择行为的较弱结果.

In the literature of modern financial economice, there is a very neat claim about the portfolio selection of risk-averse investors, that is, a strictly nonsaturable risk-averse investor invests in a risky asset if and only if there is at least one asset＇s return is higher than the risk-free interest rate. However, this conclusion is only solid for the market with one risky asset. The mistake in the original claim＇s proof is shown through an example, and some weak results are presented concerning the portfolio selection of risk-averse investors facing several risky assets.