英文标题：
《Who would invest only in the risk-free asset?》
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作者：
Nuno Azevedo, Diogo Pinheiro, Stylianos Xanthopoulos, Athanasios
  Yannacopoulos
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最新提交年份：
2016
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英文摘要：
  Within the setup of continuous-time semimartingale financial markets, we show that a multiprior Gilboa-Schmeidler minimax expected utility maximizer forms a portfolio consisting only of the riskless asset if and only if among the investor\'s priors there exists a probability measure under which all admissible wealth processes are supermartingales. Furthermore, we show that under a certain attainability condition (which is always valid in finite or complete markets) this is also equivalent to the existence of an equivalent (local) martingale measure among the investor\'s priors. As an example, we generalize a no betting result due to Dow and Werlang.
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中文摘要：
在连续时间半鞅金融市场的框架内，我们证明了一个多优先级Gilboa-Schmeidler极小极大期望效用最大化子构成了一个仅由无风险资产组成的投资组合，当且仅当投资者的先验中存在一个概率测度，在此概率测度下，所有可容许的财富过程都是超鞅。此外，我们还证明了在一定的可达性条件下（在有限或完全市场中总是有效的），这也等价于投资者的先验中存在一个等价（局部）鞅测度。作为一个例子，我们推广了Dow和Werlang的无下注结果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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