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.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Autor*in
Hara, Chiaki; Huang, James; Kuzmics, ChristophUniBi
Abstract / Bemerkung
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.
Erscheinungsjahr
2011
Zeitschriftentitel
Journal of Economic Theory
Band
146
Ausgabe
1
Seite(n)
346-358
ISSN
0022-0531
Page URI
https://pub.uni-bielefeld.de/record/2682916

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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. doi:10.1016/j.jet.2010.08.005
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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