Portfolio Choices in the Presence of Other Risks
研究多变量风险对投资组合选择的影响，推导了投资组合选择与消费决策可分离的条件，并推广了风险厌恶的度量方法，以分析其他风险如何影响最优投资组合。
The effects of multivariate risk are examined in a model of portfolio choice. The conditions under which portfolio choices are separable from consumption decisions are derived. Unless the appropriate restrictions hold on investors' preferences or on the probability distribution of risks, the optimal portfolio is affected by other risks. This requires generalizing the usual measures of risk aversion. With one risky asset, matrix measures of risk aversion are used to generalize the results of Arrow (1965) and Pratt (1964) concerning the effects of risk aversion and wealth on the optimal portfolio. With two risky assets, the choices made by two investors coincide if and only if their generalized risk-aversion measures are identical. Ross's notion of stronger risk aversion is then used to characterize the effect of risk aversion on the level of investment in the riskier asset.