Asset prices and changes in risk within a bivariate model

DOI10.1007/S10690-018-9255-4MaRDI QIDQ1732972zbMATH OpenOpenAlexWikidataFDO

Authors Octave Jokung, Sovan Mitra

Publication date 26 March 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10690-018-9255-4

zbMATH Keywords

background riskcorrelationincrease in riskmonotonicitypair-wise risk aversionrisk aversion

Mathematics Subject Classification ID

Recommendations

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Cites work

• Asset Prices in an Exchange Economy
• Increases in Risk and Linear Payoffs
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
• Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses
• Restricted increases in risk aversion and their application
• Some Results on Comparative Statics under Uncertainty
• Stochastic dominance with pair-wise risk aversion
• Stochastic Orderings of Convex-Type for Discrete Bivariate Risks
• The comparative statics of changes in risk revisited
• The values of relative risk aversion and prudence: a context-free interpretation
• Uncertain Medical Expenses and Precautionary Saving Near the End of the Life Cycle

Cited in

(3)

• Monotonicity of asset price toward higher changes in risk
• scientific article; zbMATH DE number 6178852 (Why is no real title available?)
• On bivariate risk premia

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