Non-diversified portfolios with subjective expected utility
研究了在不确定性下，风险厌恶的投资者也可能选择非分散化投资组合（将所有资源投入单一资产），并证明只要有限数量的非分散化需求与严格正信念下的风险厌恶主观期望效用最大化相容，那么在同一信念下，这些需求也能被多种不同风险偏好（包括风险中性、风险寻求）合理化。
Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely many non-diversified demands under uncertainty are compatible with risk-averse subjective expected utility maximization under strictly positive beliefs, they are also rationalizable under the same beliefs by many qualitatively distinct risk-averse as well as risk-neutral and risk-seeking preferences. • Non-diversified demand can be compatible with risk-averse SEU under some beliefs. • When this is so, it is compatible with many risk preferences under the same beliefs. • Examples include CARA (but not CRRA), DARA, risk-neutral and risk-loving preferences.