Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk
| dc.contributor.author | Franke, Günter | |
| dc.contributor.author | Stapleton, Richard C. | deu |
| dc.contributor.author | Subrahmanyam, Marti G. | deu |
| dc.date.accessioned | 2011-03-25T09:43:27Z | deu |
| dc.date.available | 2011-03-25T09:43:27Z | deu |
| dc.date.issued | 2000 | deu |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | |
| dc.format.mimetype | application/pdf | deu |
| dc.identifier.ppn | 089891422 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/12204 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2001 | deu |
| dc.relation.ispartofseries | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie | |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject.ddc | 330 | deu |
| dc.title | Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk | eng |
| dc.type | WORKINGPAPER | deu |
| dspace.entity.type | Publication | |
| kops.bibliographicInfo.seriesNumber | 2000/36 | deu |
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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.}
} | |
| kops.citation.iso690 | FRANKE, Günter, Richard C. STAPLETON, Marti G. SUBRAHMANYAM, 2000. Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk | deu |
| kops.citation.iso690 | FRANKE, Günter, Richard C. STAPLETON, Marti G. SUBRAHMANYAM, 2000. Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk | eng |
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