Risk Aversion and Arbitrage
刻画了资产收益与消费在风险厌恶偏好下的一致性条件，证明风险厌恶等价于对收益空间变换后的“零套利”，并推导出无套利条件隐含的通常非饱和约束，适用于完全与不完全市场。
ABSTRACT This paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure consumption hedges.” This zero‐arbitrage restriction implies the usual restrictions associated with nonsatiation. The analysis holds in both complete and incomplete market settings.