Sorting in risk-aversion and asset price volatility

DOI10.1016/J.JMATECO.2004.12.002MaRDI QIDQ2387407zbMATH OpenOpenAlexFDO

Authors Helios Herrera

Publication date 2 September 2005

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

Full work available at URL https://doi.org/10.1016/j.jmateco.2004.12.002

zbMATH Keywords

ParticipationRisk-aversionVolatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Endogenous participation risk in speculative markets
• Price volatility and risk with non-separability of preferences
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Cited in

(6)

• Price volatility and risk with non-separability of preferences
• Demand for risky assets and the monotone probability ratio order
• Preference Structure and Volatility in a Financially Integrated World
• HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY
• Endogenous participation risk in speculative markets
• The tradeoff between risk sharing and information production in financial markets

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