ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG‐RUN INVESTMENTS
在长期投资中，当安全资产无限增长时，接近等弹性且对低财富不太风险厌恶的投资者，其等弹性投资组合近乎最优。该结论在无套利、无摩擦的半鞅模型中成立，并表明常见期权薪酬方案导致的偏好扰动对最优投资组合影响有限，且激励随期限延长而减弱。
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage‐free, frictionless, semimartingale model. As a consequence, optimal portfolios are robust to the perturbations in preferences induced by common option compensation schemes, and such incentives are weaker when their horizon is longer. Robust option incentives are possible, but require several, arbitrarily large exercise prices, and are not always convex.