Multiplicative background risk


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FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2003. Multiplicative background risk

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

<rdf:RDF xmlns:rdf="" xmlns:bibo="" xmlns:dc="" xmlns:dcterms="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:available rdf:datatype="">2011-03-25T09:42:09Z</dcterms:available> <dc:date rdf:datatype="">2011-03-25T09:42:09Z</dc:date> <dc:contributor>Franke, Günter</dc:contributor> <dcterms:title>Multiplicative background risk</dcterms:title> <dc:creator>Stapleton, Richard C.</dc:creator> <dc:rights>deposit-license</dc:rights> <dc:language>eng</dc:language> <dc:creator>Schlesinger, Harris</dc:creator> <dcterms:abstract xml:lang="eng">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</dcterms:abstract> <bibo:uri rdf:resource=""/> <dc:format>application/pdf</dc:format> <dc:contributor>Schlesinger, Harris</dc:contributor> <dcterms:issued>2003</dcterms:issued> <dcterms:rights rdf:resource=""/> <dc:creator>Franke, Günter</dc:creator> <dc:contributor>Stapleton, Richard C.</dc:contributor> </rdf:Description> </rdf:RDF>

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