Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion
在双变量正态分布假设下，证明Rubinstein风险厌恶度量能刻画最优投资组合的风险厌恶和财富效应，并将结果推广到多属性效用函数与联合正态分布情形。
In a portfolio selection model with two risky investments having bivariate normally distributed returns, we show that Rubinstein's measures of risk aversion can yield the desirable characterizations of risk aversion and wealth effects on the optimal portfolios. These properties are analogous to those of the Arrow-Pratt measures of risk aversion in the portfolio selection model with one riskless and one risky investment. If investors' preferences are represented by multi-attributed utility functions and returns on different investments and other relevant factors have a joint normal distribution, we show that optimal portfolios can be characterized by a matrix measure of risk aversion.