Effects of background risks on cautiousness with an application to a portfolio choice problem

Hara C, Huang J, Kuzmics C (2011)
Journal of Economic Theory 146(1): 346-358.

Journal Article | Published | English

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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.
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Hara C, Huang J, Kuzmics C. Effects of background risks on cautiousness with an application to a portfolio choice problem. Journal of Economic Theory. 2011;146(1):346-358.
Hara, C., Huang, J., & Kuzmics, C. (2011). Effects of background risks on cautiousness with an application to a portfolio choice problem. Journal of Economic Theory, 146(1), 346-358.
Hara, C., Huang, J., and Kuzmics, C. (2011). Effects of background risks on cautiousness with an application to a portfolio choice problem. Journal of Economic Theory 146, 346-358.
Hara, C., Huang, J., & Kuzmics, C., 2011. Effects of background risks on cautiousness with an application to a portfolio choice problem. Journal of Economic Theory, 146(1), p 346-358.
C. Hara, J. Huang, and C. Kuzmics, “Effects of background risks on cautiousness with an application to a portfolio choice problem”, Journal of Economic Theory, vol. 146, 2011, pp. 346-358.
Hara, C., Huang, J., Kuzmics, C.: Effects of background risks on cautiousness with an application to a portfolio choice problem. Journal of Economic Theory. 146, 346-358 (2011).
Hara, Chiaki, Huang, James, and Kuzmics, Christoph. “Effects of background risks on cautiousness with an application to a portfolio choice problem”. Journal of Economic Theory 146.1 (2011): 346-358.
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