Risk taking with additive and multiplicative background risks
From MaRDI portal
Publication:634525
DOI10.1016/J.JET.2011.03.008zbMATH Open1247.91084OpenAlexW2116558675MaRDI QIDQ634525FDOQ634525
Authors: Guenter Franke, Harris Schlesinger, Richard C. Stapleton 
Publication date: 16 August 2011
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2011.03.008
Recommendations
- Multiplicative Background Risk
- Additive and multiplicative risk premiums with multiple sources of risk
- Tempering effects of (dependent) background risks: a mean-variance analysis of portfolio selection
- Effects of background risks on cautiousness with an application to a portfolio choice problem
- Risk taking with background risk under recursive rank-dependent utility
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- The economics of risk and time
- Nonparametric risk management and implied risk aversion
- Multiplicative Background Risk
- Risk Aversion with Random Initial Wealth
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- Changes in Background Risk and Risk Taking Behavior
- Risk Vulnerability and the Tempering Effect of Background Risk
- Risk Aversion in the Small and in the Large
- Who buys and who sells options: the role of options in an economy with background risk
- Standard Risk Aversion
- Preservation of More risk averse under expectations
Cited In (24)
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Changes in Background Risk and Risk Taking Behavior
- Comparative ross risk aversion in the presence of mean dependent risks
- Detecting systematic anomalies affecting systems when inputs are stationary time series
- Risk aversion with two risks: a theoretical extension
- Optimal capital allocations to interdependent actuarial risks
- Portfolio choice with skewness preference and wealth-dependent risk aversion
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Optimal allocation of policy deductibles for exchangeable risks
- Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk*
- Risky asset allocation and consumption rule in the presence of background risk and insurance markets
- Optimal incentive-compatible insurance with background risk
- Risk taking with background risk under recursive rank-dependent utility
- Arrow's theorem of the deductible with heterogeneous beliefs
- Statistical detection and classification of background risks affecting inputs and outputs
- Multiple risks and mean-variance preferences
- Background risk models and stepwise portfolio construction
- 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
- Basis risk management and randomly scaled uncertainty
- Multiplicative Background Risk
- Additive and multiplicative risk premiums with multiple sources of risk
- Effects of background risks on cautiousness with an application to a portfolio choice problem
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
This page was built for publication: Risk taking with additive and multiplicative background risks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634525)
