Hara, Chiaki and Huang, James and Kuzmics, Christoph (2011) Effects of background risks on cautiousness with an application to a portfolio choice problem. Journal of Economic Theory, 146 (1). pp. 346-358. ISSN 0022-0531Full text not available from this repository.
We provide necessary and sufficient conditions on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for options and portfolio insurance.
|Journal or Publication Title:||Journal of Economic Theory|
|Uncontrolled Keywords:||Risk aversion ; risk tolerance ; cautiousness ; portfolio insurance ; idiosyncratic risks ; background risks ; incomplete markets|
|Departments:||Lancaster University Management School > Accounting & Finance|
|Deposited On:||11 Jul 2011 19:33|
|Last Modified:||18 Nov 2015 10:26|
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