Publikation:

Risk-taking-neutral background risks

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2011

Autor:innen

Stapleton, Richard

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-173534
DOI (zitierfähiger Link)
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Wirtschaftswissenschaften: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Beitrag zu einem Konferenzband
Publikationsstatus
Published

Erschienen in

38th Seminar of the European Group of Risk and Insurance Economists, 19 - 21 September 2011, Vienna. Geneva: The Geneva Association, International Association for the Study of Insurance Economics, 2011, pp. 3,1-3,20. Etudes et dossiers. 380

Zusammenfassung

This paper examines how decision making under uncertainty is a ected by the presence of a background risk. By background risk, we refer to a risk for which there is no market for trading or hedging. In particular, we construct a class of background risks that we label as risk-taking-neutral (RTN). These background risks have the property that they will not alter the choice de- cisions made with respect to another risk. As such, these RTN background risks can provide a benchmark. In many situations, a background risk that is faced by an investor can be compared to one from the RTN class in order to predict qualitative changes in the investor's choice decision. In particular, we illustrate our benchmarking with three examples with regards to portfolio choice: (1) e ects of a at-rate income tax, (2) e ects of an independent non{ positive-mean background risk, and (3) a theorem about dynamic investing due to Mossin (1968a).

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

background risk, HARA utility, income tax, portfolio choice, risk vulnerability

Konferenz

38th Seminar of the European Group of Risk and Insurance Economists, 19. Sept. 2011 - 21. Sept. 2011, Vienna
Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690FRANKE, Günter, Harris SCHLESINGER, Richard STAPLETON, 2011. Risk-taking-neutral background risks. 38th Seminar of the European Group of Risk and Insurance Economists. Vienna, 19. Sept. 2011 - 21. Sept. 2011. In: 38th Seminar of the European Group of Risk and Insurance Economists, 19 - 21 September 2011, Vienna. Geneva: The Geneva Association, International Association for the Study of Insurance Economics, 2011, pp. 3,1-3,20. Etudes et dossiers. 380
BibTex
@inproceedings{Franke2011Riskt-17353,
  year={2011},
  title={Risk-taking-neutral background risks},
  number={380},
  publisher={The Geneva Association, International Association for the Study of Insurance Economics},
  address={Geneva},
  series={Etudes et dossiers},
  booktitle={38th Seminar of the European Group of Risk and Insurance Economists, 19 - 21 September 2011, Vienna},
  pages={3,1--3,20},
  author={Franke, Günter and Schlesinger, Harris and Stapleton, Richard}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/17353">
    <dc:contributor>Schlesinger, Harris</dc:contributor>
    <dc:creator>Schlesinger, Harris</dc:creator>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-02-22T16:56:59Z</dcterms:available>
    <dc:rights>terms-of-use</dc:rights>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/17353"/>
    <dcterms:title>Risk-taking-neutral background risks</dcterms:title>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dc:contributor>Stapleton, Richard</dc:contributor>
    <dc:creator>Franke, Günter</dc:creator>
    <dcterms:issued>2011</dcterms:issued>
    <dc:language>eng</dc:language>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2012-02-22T16:56:59Z</dc:date>
    <dcterms:abstract xml:lang="eng">This paper examines how decision making under uncertainty is a ected by the presence of a background risk. By background risk, we refer to a risk for which there is no market for trading or hedging. In particular, we construct a class of background risks that we label as risk-taking-neutral (RTN). These background risks have the property that they will not alter the choice de- cisions made with respect to another risk. As such, these RTN background risks can provide a benchmark. In many situations, a background risk that is faced by an investor can be compared to one from the RTN class in order to predict qualitative changes in the investor's choice decision. In particular, we illustrate our benchmarking with three examples with regards to portfolio choice: (1) e ects of a at-rate income tax, (2) e ects of an independent non{ positive-mean background risk, and (3) a theorem about dynamic investing due to Mossin (1968a).</dcterms:abstract>
    <dc:contributor>Franke, Günter</dc:contributor>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:bibliographicCitation>Publ. in: 38th Seminar of the European Group of Risk and Insurance Economists, 19-21 September 2011, Vienna. - Geneva : The Geneva Association, International Association for the Study of Insurance Economics, 2011. - S. 3,1 - 3,20. - (Etudes et dossiers ; 380)</dcterms:bibliographicCitation>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:creator>Stapleton, Richard</dc:creator>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen