Publikation:

Background risk and the demand for state-contingent claims

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Background_Risk_04.pdf
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Datum

2004

Autor:innen

Stapleton, Richard C.
Subrahmanyam, Marti G.

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URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-53803
DOI (zitierfähiger Link)
https://doi.org/10.1007/s00199-003-0368-1
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Attribution-NonCommercial-NoDerivs 2.0 Generic

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Open Access Green

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Wirtschaftswissenschaften: Publikationen
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Titel in einer weiteren Sprache

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Zeitschriftenartikel
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Published

Erschienen in

Economic Theory. 2004, 23, pp. 321-335. Available under: doi: 10.1007/s00199-003-0368-1

Zusammenfassung

We consider the demand for state-contingent claims, in the presence of an independent zero-mean, non-hedgeable background risk. An agent is defined to be generalized risk averse if he/she chooses a demand function for contingent claims with a smaller slope everywhere, given a simple increase in background risk. We show that the conditions for standard risk aversion, that is positive, declining absolute risk aversion and prudence, are necessary and sufficient for generalized risk aversion.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Background risk, Precautionary premium, Demand for tradable risk

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ISO 690FRANKE, Günter, Richard C. STAPLETON, Marti G. SUBRAHMANYAM, 2004. Background risk and the demand for state-contingent claims. In: Economic Theory. 2004, 23, pp. 321-335. Available under: doi: 10.1007/s00199-003-0368-1
BibTex
@article{Franke2004Backg-11908,
  year={2004},
  doi={10.1007/s00199-003-0368-1},
  title={Background risk and the demand for state-contingent claims},
  volume={23},
  journal={Economic Theory},
  pages={321--335},
  author={Franke, Günter and Stapleton, Richard C. and Subrahmanyam, Marti G.}
}
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