We derive the optimal portfolio for an investor with increasing relative risk aversion in a complete continuous-time securities market. The IRRA assumption helps to mitigate the criticism of constant relative risk aversion that it implies an unreasonably large aversion to large gambles, given reasonable aversion to small gambles. The model provides theoretical support for the common recommendation of financial advisors that older investors should reduce their allocations to risky assets, and it is consistent with empirical relations between age, wealth, and portfolios.

中文翻译：

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增加风险规避和生命周期投资

我们为投资者提供了一个完整的连续时间证券市场中相对风险规避不断增加的最佳投资组合。IRRA的假设有助于减轻对持续相对风险规避的批评，即相对于对小赌注的合理厌恶，它意味着对大赌注的过度厌恶。该模型为财务顾问的共同建议（即老年投资者应减少对风险资产的分配）提供理论支持，并且与年龄，财富和投资组合之间的经验关系相符。