Publikation: Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk
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2000
Autor:innen
Franke, Günter
Stapleton, Richard C.
Subrahmanyam, Marti G.
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CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
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Zusammenfassung
We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show that the conditions for standard risk aversion: positive, declining absolute risk aversion and prudence are necessary and sufficient for generalized risk aversion. We also derive anecessary and sufficient condition for the agent's derived risk aversion to increase with a simple increase in background risk.
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330 Wirtschaft
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FRANKE, Günter, Richard C. STAPLETON, Marti G. SUBRAHMANYAM, 2000. Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background RiskBibTex
@techreport{Franke2000Stand-12204, year={2000}, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk}, number={2000/36}, author={Franke, Günter and Stapleton, Richard C. and Subrahmanyam, Marti G.} }
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