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

DOI10.1016/J.JMATECO.2020.03.004MaRDI QIDQ2178597zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolio choiceexpectation dependencecorrelation aversioncorrelated risksmarginal risk increasenon-financial background risk

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3512021 (Why is no real title available?)
• Changes in Background Risk and Risk Taking Behavior
• Ethically robust comparisons of bidimensional distributions with an ordinal attribute
• Expectation dependence of random variables, with an application in portfolio theory
• Fear of loss, inframodularity, and transfers
• First order versus second order risk aversion
• Increasing risk: Some direct constructions
• On risk aversion with two risks
• Ordering Uncertain Prospects: The Multivariate Utility Functions Case
• Proper Risk Aversion
• Risk Vulnerability and the Tempering Effect of Background Risk
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Standard Risk Aversion
• The Comparative Statics of Constrained Optimization Problems
• The Ross Characterization of Risk Aversion: Strengthening and Extension
• The demand for a risky asset in the presence of a background risk
• When can expected utility handle first-order risk aversion?

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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