Relative Risk Aversion with Arrow-Debreu Securities
研究在完全阿罗-德布鲁证券市场中的资产组合问题，证明某状态资产收益率上升时，对该资产的需求变化方向取决于该状态下的相对风险厌恶是否小于1，其他资产需求则反向变化。
This note considers a portfolio problem with a complete set of Arrow-Debreu securities, each of which pays a positive return in only one state. It is shown that an increase in the return to asset i in state i causes an increase (no change; a decrease) in demand for asset i if and only if relative risk aversion evaluated in state i is less than (equal to; greater than) unity. Demands for all other assets change in the opposite direction. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.