When Is a Risky Asset “Urgently Needed”?
研究了经典投资组合问题中，无风险资产需求随收入下降的条件，即风险资产具有“迫切需要的”性质，并分析了该性质在不确定性下的表现及资产定价含义。
Risk free asset demand in the classic portfolio problem is shown to decrease with income if and only if the consumer's uncertainty preferences over assets satisfy the preference condition that the risk free asset is more readily substituted for the risky asset as the quantity of the latter increases. In this case, the risky asset is said to be “urgently needed” following the terminology of the classic certainty analysis of Johnson (1913). The urgently needed property tends to be more readily satisfied in uncertainty versus certainty settings. Asset pricing implications of this property are provided.