Risk taking with additive and multiplicative background risks
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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
- Changes in Background Risk and Risk Taking Behavior
- Multiplicative Background Risk
- Nonparametric risk management and implied risk aversion
- Optimum consumption and portfolio rules in a continuous-time model
- Preservation of More risk averse under expectations
- Risk Aversion in the Small and in the Large
- Risk Aversion with Random Initial Wealth
- Risk Vulnerability and the Tempering Effect of Background Risk
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- Standard Risk Aversion
- The economics of risk and time
- Who buys and who sells options: the role of options in an economy with background risk
Cited in
(25)- Multiple risks and mean-variance preferences
- Risk aversion with two risks: a theoretical extension
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Who buys and who sells options: the role of options in an economy with background risk
- Risk taking with background risk under recursive rank-dependent utility
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Portfolio choice with skewness preference and wealth-dependent risk aversion
- 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
- Optimal capital allocations to interdependent actuarial risks
- Risky asset allocation and consumption rule in the presence of background risk and insurance markets
- Statistical detection and classification of background risks affecting inputs and outputs
- Effects of background risks on cautiousness with an application to a portfolio choice problem
- Arrow's theorem of the deductible with heterogeneous beliefs
- Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk*
- Basis risk management and randomly scaled uncertainty
- Optimal allocation of policy deductibles for exchangeable risks
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Multiplicative Background Risk
- Changes in Background Risk and Risk Taking Behavior
- Optimal incentive-compatible insurance with background risk
- Background risk models and stepwise portfolio construction
- Additive and multiplicative risk premiums with multiple sources of risk
- Detecting systematic anomalies affecting systems when inputs are stationary time series
- Comparative ross risk aversion in the presence of mean dependent risks
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