Higher-order risk vulnerability

DOI10.1007/S00199-015-0935-2MaRDI QIDQ513593zbMATH OpenOpenAlexFDO

Authors James Huang, Richard C. Stapleton

Publication date 7 March 2017

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/79100/1/DRA_BGR_R.pdf

zbMATH Keywords

background riskdownside risk aversiondownside risk vulnerabilityhigher-order risk vulnerability

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Risk Vulnerability and the Tempering Effect of Background Risk
• A test of risk vulnerability in the wider population
• On cross-risk vulnerability
• Ross risk vulnerability for introductions and changes in background risk
• Decreasing ross risk aversion: higher-order generalizations and implications

Cites work

• A note on comparative downside risk aversion
• Apportioning of risks via stochastic dominance
• Background risk and the demand for state-contingent claims
• Background risk in generalized expected utility theory
• Cautiousness, skewness preference, and the demand for options
• Changes in Background Risk and Risk Taking Behavior
• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Greater downside risk aversion
• Greater downside risk aversion in the large
• Greater prudence and greater downside risk aversion
• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• Mixed risk aversion
• Multiplicative Background Risk
• On relative and partial risk attitudes: theory and implications
• On the intensity of downside risk aversion
• Proper Risk Aversion
• Proper prudence, standard prudence and precautionary vulnerability
• Risk Aversion in the Small and in the Large
• Risk Vulnerability and the Tempering Effect of Background Risk
• Standard Risk Aversion
• Stronger measures of higher-order risk attitudes
• Substituting one risk increase for another: a method for measuring risk aversion
• The demand for a risky asset in the presence of a background risk
• The impact of prudence on optimal prevention

Cited in

(4)

• Portfolio choice with skewness preference and wealth-dependent risk aversion
• Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention
• On cross-risk vulnerability
• Ross risk vulnerability for introductions and changes in background risk

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