主观期望效用下的非分散化投资组合
Non-diversified portfolios with subjective expected utility
AI总结：
本文证明在严格正信念下，有限多个非分散化需求若能被风险厌恶型主观期望效用最大化所解释，则同样可被同一信念下多种风险厌恶、风险中性及风险寻求偏好所合理化。
摘要：
分散化是风险厌恶型代理人的典型投资策略。然而，将所有资源配置到单一资产、世界状态或收入流的非分散化头寸也很常见。我们证明，只要在不确定性下有限多个非分散化需求在严格正信念下与风险厌恶型主观期望效用最大化相容，那么它们在同一信念下也可被许多性质不同的风险厌恶型以及风险中性和风险寻求型偏好所合理化。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
