摘要翻译：
当计划期限较长，安全资产无限增长时，对于高财富接近等弹性的投资者，等弹性投资组合几乎是最优的，而对于低财富不太厌恶风险。我们在一个一般的无套利、无摩擦、半鞅模型中证明了这一结果。因此，最优投资组合对由普通期权补偿方案引起的偏好扰动具有鲁棒性，并且当期权补偿方案的期限较长时，这种激励作用较弱。强有力的期权激励是可能的，但需要几个任意大的行权价格，并且不总是凸的。
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英文标题：
《Robust Portfolios and Weak Incentives in Long-Run Investments》
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作者：
Paolo Guasoni, Johannes Muhle-Karbe, Hao Xing
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最新提交年份：
2014
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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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英文摘要：
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.
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