Financial risk taking in the presence of correlated non-financial background risk

DOI10.1016/J.JMATECO.2020.03.004zbMATH Open1437.91134OpenAlexW3014112396MaRDI QIDQ2178597FDOQ2178597

Authors: W. Henry Chiu 

Publication date: 11 May 2020

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

Full work available at URL: https://www.research.manchester.ac.uk/portal/en/publications/financial-risk-taking-in-the-presence-of-correlated-nonfinancial-background-risk(87a74c92-b171-440e-9a16-7e5e031fb9fc).html

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zbMATH Keywords

portfolio choiceexpectation dependencecorrelation aversioncorrelated risksmarginal risk increasenon-financial background risk

Mathematics Subject Classification ID

Portfolio theory (91G10) Risk models (general) (91B05)

Cites Work

• Expectation dependence of random variables, with an application in portfolio theory
• On risk aversion with two risks
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• When can expected utility handle first-order risk aversion?
• Changes in Background Risk and Risk Taking Behavior
• Risk Vulnerability and the Tempering Effect of Background Risk
• The demand for a risky asset in the presence of a background risk
• First order versus second order risk aversion
• The Comparative Statics of Constrained Optimization Problems
• Proper Risk Aversion
• Standard Risk Aversion
• Ethically robust comparisons of bidimensional distributions with an ordinal attribute
• Increasing risk: Some direct constructions
• Title not available (Why is that?)
• Fear of loss, inframodularity, and transfers
• The Ross Characterization of Risk Aversion: Strengthening and Extension
• Ordering Uncertain Prospects: The Multivariate Utility Functions Case

Cited In (5)

• Changes in Background Risk and Risk Taking Behavior
• Fractional-degree expectation dependence
• Diversification and risk attitudes toward two risks
• Comparative risk aversion with two risks
• Production and hedging under correlated price and background risks

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