Risk Vulnerability and the Tempering Effect of Background Risk
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Publication:4895058
DOI10.2307/2171958zbMATH Open0856.90014OpenAlexW2085274538MaRDI QIDQ4895058FDOQ4895058
Authors: Christian Gollier, John W. Pratt 
Publication date: 13 October 1996
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171958
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- Time horizon and the discount rate.
- Basic risk aversion
- Increasing outer risk
- Complete monotonicity, background risk, and risk aversion
- Changes in Background Risk and Risk Taking Behavior
- Prudence and risk vulnerability in two-moment decision models
- Decreasing downside risk aversion and background risk
- Risk aversion with two risks: a theoretical extension
- Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
- Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level
- The effect of the background risk in a simple chance improving decision model
- Assortative matching and risk sharing
- The demand for a risky asset in the presence of a background risk
- Risk taking with additive and multiplicative background risks
- On the intensity of downside risk aversion
- Optimal prevention and other risks in a two-period model
- Slutzky equations and substitution effects of risks in terms of mean-variance preferences
- Apportioning of risks via stochastic dominance
- On the nature of certainty equivalent functionals
- Risk vulnerability: a graphical interpretation
- Some conditions for the equivalence between risk aversion, prudence and temperance
- Weighted risk capital allocations in the presence of systematic risk
- On risk aversion with two risks
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Some consequences of correlation aversion in decision science
- Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
- Ross risk vulnerability for introductions and changes in background risk
- Risk apportionment and multiply monotone targets
- Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes
- Risk measurement in the presence of background risk
- Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
- A note on the theory of the firm under multiple uncertainties
- The firm under uncertainty: real and financial decisions
- Risk preferences and changes in background risk
- The consumption-based determinants of the term structure of discount rates
- Equilibrium open interest
- A note on comparative downside risk aversion
- Optimal saving in the presence of two risks
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- The newsvendor problem under multiplicative background risk
- Decreasing ross risk aversion: higher-order generalizations and implications
- Proper prudence, standard prudence and precautionary vulnerability
- Duality and consumption decisions under income and price risk
- From poverty measurement to the measurement of downside risk
- Who buys and who sells options: the role of options in an economy with background risk
- Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions
- Comparing utility derivative premia under additive and multiplicative risks
- Risk aversion and expected-utility theory: a calibration exercise
- Mean-risk model for uncertain portfolio selection with background risk
- Comparative statics under uncertainty: The case of mean-variance preferences.
- Nonmyopic optimal portfolios in viable markets
- Saving motives and multivariate precautionary premia
- Optimal risk sharing with background risk
- On cross-risk vulnerability
- New results on the relationship among risk aversion, prudence and temperance
- Benchmark values for higher order coefficients of relative risk aversion
- On non-monetary measures in the face of risks and the signs of the derivatives
- Uncertain portfolio selection with background risk
- An axiomatic account of status quo-dependent non-expected utility: pragmatic constraints on rational choice under risk
- Higher-order risk vulnerability
- The power of money: wealth effects in contests
- Effects of background risks on cautiousness with an application to a portfolio choice problem
- Portfolio choice under noisy asset returns
- Precautionary saving in the presence of other risks
- Stochastic dominance and absolute risk aversion
- Health care investment: the case of multiple sources of risk
- Preserving preference rankings under non-financial background risk
- How many balance functions does it take to determine a utility function?
- Uncertain portfolio selection with background risk and liquidity constraint
- Does risk sharing increase with risk aversion and risk when commitment is limited?
- Optimal insurance contract with stochastic background wealth
- Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk
- Variance stochastic orders
- Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
- Inflation expectations and behavior: do survey respondents act on their beliefs?
- Convex and decreasing absolute risk aversion is proper
- Standard risk aversion and efficient risk sharing
- Health and portfolio choices: a diffidence approach
- Effects of mortality risk on risk-taking behavior
- Comparative convexity
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Title not available (Why is that?)
- Risk taking with background risk under recursive rank-dependent utility
- Risk aversion and the value of diagnostic tests
- A form of multivariate Pareto distribution with applications to financial risk measurement
- On the willingness to pay to reduce risks of small losses
- Investment decisions when utility depends on wealth and other attributes
- Risk aversion and risk vulnerability in the continuous and discrete case
- Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
- Preserving preference rankings under background risk
- Changes in multiplicative background risk and risk-taking behavior
- Financial risk taking in the presence of correlated non-financial background risk
- Greater Arrow-Pratt (absolute) risk aversion of higher orders
- CDF formulation for solving an optimal reinsurance problem
- Decreasing Relative Risk Premium
- Optimal saving and health prevention
- On temperance and risk spreading
- Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
- A test of risk vulnerability in the wider population
- Nonlinearly transformed risk measures: properties and application to optimal reinsurance
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