The demand for a risky asset in the presence of a background risk

DOI10.1016/j.jet.2010.10.011zbMath1244.91045OpenAlexW2054638964WikidataQ59356404 ScholiaQ59356404MaRDI QIDQ629340

Jingyuan Li

Publication date: 9 March 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2010.10.011

zbMATH Keywords

expectation dependencebackground riskrisky asset

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (25)

Risk aversion with two risks: a theoretical extension ⋮ Portfolio choice in the model of expected utility with a safety-first component ⋮ Production and hedging under correlated price and background risks ⋮ Confidence band for expectation dependence with applications ⋮ A model for the optimal selection of lenders ⋮ Precautionary saving under many risks ⋮ Testing for more positive expectation dependence with application to model comparison ⋮ Financial risk taking in the presence of correlated non-financial background risk ⋮ Almost expectation and excess dependence notions ⋮ Fractional-degree expectation dependence ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization ⋮ Higher-order risk vulnerability ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Testing for positive expectation dependence ⋮ Risk aversion, prudence, and asset allocation: a review and some new developments ⋮ The non-integer higher-order stochastic dominance ⋮ Preserving the Rothschild-Stiglitz type of increasing risk with background risk ⋮ Labor supply with stochastic wage rate and non-labor income uncertainty ⋮ Comparative risk aversion with two risks ⋮ Diversification and risk attitudes toward two risks ⋮ The lower regression function and testing expectation dependence dominance hypotheses ⋮ Hedging and the competitive firm under correlated price and background risk ⋮ Production and hedging in futures markets with multiple delivery specifications ⋮ Convex and decreasing absolute risk aversion is proper

Cites Work

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• Expectation dependence of random variables, with an application in portfolio theory
• Mixed risk aversion
• A note on optimal insurance in the presence of a nonpecuniary background risk
• On the covariance between functions
• Stochastic Dominance and the Maximization of Expected Utility
• Some Concepts of Dependence

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