Diversification and risk attitudes toward two risks

DOI10.1016/J.JMATECO.2022.102736MaRDI QIDQ2092776zbMATH OpenOpenAlexFDO

Authors Kit Pong Wong

Publication date 3 November 2022

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2022.102736

zbMATH Keywords

comparative risk aversioncorrelation aversioncorrelation lovingexpectation dependencerisk attitudes toward two risks

Mathematics Subject Classification ID

Risk models (general) (91B05) Utility theory (91B16)

Recommendations

• Comparative risk aversion with two risks
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Cites work

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• Standard Risk Aversion
• The demand for a risky asset in the presence of a background risk
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Cited in

(7)

• On risk aversion with two risks
• Incremental risk aversion and diversification preference
• Comparative risk aversion with two risks
• Health care investment: the case of multiple sources of risk
• Risk aversion with two risks: a theoretical extension
• Background risk, bivariate risk attitudes, and optimal prevention
• Some consequences of correlation aversion in decision science

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