摘要翻译：
考虑了有电力效用的最优消费和最优投资的经济问题。研究了相对风险厌恶趋于无穷大或趋于1时的最优策略。对于一般半鞅模型，得到了最优消费的收敛性；对于连续模型，得到了最优交易策略的收敛性。极限与指数效用和对数效用有关。为了得到这些结果，我们结合了最优控制、凸分析和倒向随机微分方程（BSDEs）的方法。
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英文标题：
《Risk Aversion Asymptotics for Power Utility Maximization》
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作者：
Marcel Nutz
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for general semimartingale models while the convergence of the optimal trading strategy is obtained for continuous models. The limits are related to exponential and logarithmic utility. To derive these results, we combine approaches from optimal control, convex analysis and backward stochastic differential equations (BSDEs).
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PDF链接：
https://arxiv.org/pdf/1003.3582