Cover Image

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

We consider the demand for state contingent claims in the presence of a zeromean, non-hedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show that the conditions for standard risk aversion: positive, declining absoluterisk aversion and prudence are necessary and sufficient for generalized risk aversion. We also derive a necessary and sufficient condition for the agent's derived risk aversion to increase with a simple increase in background risk
Year of publication:
[2008]
Authors: Franke, G unter
Other Persons: Stapleton, R.C. (contributor) ; Subrahmanyam, Marti G. (contributor)
Publisher: [2008]: [S.l.] : SSRN
freely available
Full text |
Check Google Scholar
In German libraries (KVK)
I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012768982
Similar items by person