Effects of background risks on cautiousness with an application to a portfolio choice problem
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Publication:629337
DOI10.1016/J.JET.2010.08.005zbMATH Open1244.91030OpenAlexW2024252055MaRDI QIDQ629337FDOQ629337
Authors: Chiaki Hara, James Huang, Christoph Kuzmics 
Publication date: 9 March 2011
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2010.08.005
Recommendations
- Risk taking with additive and multiplicative background risks
- Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
- Risk Vulnerability and the Tempering Effect of Background Risk
- Risk preferences and changes in background risk
- Multiplicative Background Risk
risk aversionincomplete marketsportfolio insurancerisk tolerancebackground riskscautiousnessidiosyncratic risks
Cites Work
- The economics of risk and time
- Risk Aversion with Random Initial Wealth
- Risk Vulnerability and the Tempering Effect of Background Risk
- Equilibrium in a Reinsurance Market
- Who buys and who sells options: the role of options in an economy with background risk
- Representative consumer's risk aversion and efficient risk-sharing rules
- Preservation of More risk averse under expectations
Cited In (10)
- Uncertain portfolio selection with background risk and liquidity constraint
- The demand for a risky asset in the presence of a background risk
- Risk taking with additive and multiplicative background risks
- Cautiousness, skewness preference, and the demand for options
- Convex and decreasing absolute risk aversion is proper
- Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
- Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
- Mean-risk model for uncertain portfolio selection with background risk
- Uncertain portfolio selection with background risk
- Higher-order risk vulnerability
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