Cautiousness, skewness preference, and the demand for options

DOI10.1093/ROF/RFT048MaRDI QIDQ4554718zbMATH OpenOpenAlexFDO

Authors James Huang, Richard C. Stapleton

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rft048

zbMATH Keywords

cautiousnessoptionportfolio problemrisk-free bondskewness preferencestock

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Increases in skewness and three-moment preferences
• Greater downside risk aversion
• Allocative downside risk aversion
• Testing for prudence and skewness seeking

Cited in

(4)

• Skewness seeking: risk loving, optimism or overweighting of small probabilities?
• Higher-order risk vulnerability
• Increases in skewness and three-moment preferences
• Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention

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