01期
目录
TheStructureofInvestorPreferencesandAssetReturns,andSeparabilityinPortfolioAllocation:aContributiontothePureTheoryofMutualFunds
RiskAversionintheSmallandintheLarge
SomeStrongerMeasuresofRiskAversionintheSmallandLargewithApplications
不确定性下的决策(1)1、Thestructureofinvestorpreferencesandassetreturns,andseparabilityinportfolioallocation:acontributiontothepuretheoryofmutualfunds
JournalofEconomicTheory,,2(2):-
DavidCass,YaleUniversity
JosephE.Stiglitz,YaleUniversity
Abstract
Thepurposeofthispaperistwo-fold:First,tofindnecessaryandsufficientconditions(intermsofinvestorpreferences)underwhichsuchmutualfundscanbeformed,andsecond,tofindconditionsunderwhichthemorerestrictiveseparationintoriskyandsafeassetscantakeplace.Ourresultsareilluminatingnotonlybecausetheyshowhowveryrestrictivetheconditionsare,butalsobecausetheyisolatethepeculiarroleplayedby“money”(theusualinterpretationgiventhesafeasset).
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