%0 Journal Article
%T Risk Aversion and Portfolio Selection in a Continuous-Time Model
%A Jianming Xia
%J Mathematics
%D 2008
%I arXiv
%X 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.
%U http://arxiv.org/abs/0805.0618v3