Risk Aversion and the Intertemporal Behavior of Asset Prices
刻画了现金流和远期价格均服从随机游走的经济体，证明几何随机游走情形下代表性投资者具有常数比例风险厌恶偏好，并给出现货价格服从随机游走及等价鞅测度非状态依赖的条件。
In this article, we characterize economies in which both cash flows and forward prices follow random walks. We show in the case of geometric random walks that the preferences of the representative investor are of the constant proportional risk-aversion type. We also show the conditions under which spot prices follow random walks and under which the equivalent martingale measure is non-state-dependent.