Background risk and the demand for state-contingent claims

Kurzanzeige
dc.contributor.authorFranke, Günter
dc.contributor.authorStapleton, Richard C.deu
dc.contributor.authorSubrahmanyam, Marti G.deu
dc.date.accessioned2011-03-25T09:41:02Zdeu
dc.date.available2011-03-25T09:41:02Zdeu
dc.date.issued2004deu
dc.description.abstractWe 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.eng
dc.description.versionpublished
dc.format.mimetypeapplication/pdfdeu
dc.identifier.citationFirst publ. in: Economic Theory 23 (2004), pp. 321-335deu
dc.identifier.doi10.1007/s00199-003-0368-1
dc.identifier.ppn279406878deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/11908
dc.language.isoengdeu
dc.legacy.dateIssued2008deu
dc.rightsAttribution-NonCommercial-NoDerivs 2.0 Generic
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.0/
dc.subjectBackground riskdeu
dc.subjectPrecautionary premiumdeu
dc.subjectDemand for tradable riskdeu
dc.subject.ddc330deu
dc.subject.jelD5deu
dc.subject.jelD81deu
dc.subject.jelG11deu
dc.titleBackground risk and the demand for state-contingent claimseng
dc.typeJOURNAL_ARTICLEdeu
dspace.entity.typePublication
kops.citation.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.}
}
kops.citation.iso690FRANKE, 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/s00199-003-0368-1deu
kops.citation.iso690FRANKE, 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/s00199-003-0368-1eng
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