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 0022-0531
Full text not available from this repository.Official URL: http://dx.doi.org/10.1016/j.jet.2010.08.005
Abstract
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.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Journal of Economic Theory |
| Uncontrolled Keywords: | Risk aversion ; risk tolerance ; cautiousness ; portfolio insurance ; idiosyncratic risks ; background risks ; incomplete markets |
| Subjects: | UNSPECIFIED |
| Departments: | Lancaster University Management School > Accounting & Finance |
| ID Code: | 45514 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 11 Jul 2011 19:33 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 11 Apr 2013 13:13 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/45514 |
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