Publikation:

Multiplicative background risk

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03-05.pdf
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2003

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Zusammenfassung

Although there has been much attention in recent years on the effects of additive background risks, the same is not true for its multiplicative counterpart. We consider random wealth of the multiplicative form xy, where x and y are statistically independent random variables. We assume that x is endogenous to the economic agent, but that y is an exogenous and nontradable background risk, which represents a type of market incompleteness. Our main focus is on how the presence of the multiplicative background risk y affects risk-taking behavior for decisions on the choice of x. We characterize conditions on preferences that lead to more cautious behavior

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

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multiplicative risks, background risk, incomplete markets, standard risk aversion, affiliated utility function, multiplicative risk vulnerability

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ISO 690FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2003. Multiplicative background risk
BibTex
@techreport{Franke2003Multi-12016,
  year={2003},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Multiplicative background risk},
  number={2003/05},
  author={Franke, Günter and Schlesinger, Harris and Stapleton, Richard C.}
}
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