Cautiousness in the small and in the large

Huang, James and Stapleton, Richard (2012) Cautiousness in the small and in the large. Working Paper. Lancaster University, Lancaster.

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Abstract

We characterize cautiousness, a downside risk aversion measure, using a simple portfolio problem in which agents invest in a stock, a risk-free bond, and an option on the stock. We present two different characterizations by answering the following two questions respectively: who buys the option? who buys more options per share of the stock? Our characterizations use a strong notion of an increase in skewness defined by Van Zwet (1964).

Item Type:
Monograph (Working Paper)
Uncontrolled Keywords:
/dk/atira/pure/researchoutput/libraryofcongress/hf5601
Subjects:
ID Code:
71033
Deposited By:
Deposited On:
30 Sep 2014 09:58
Refereed?:
No
Published?:
Published
Last Modified:
26 Sep 2020 23:53