Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - Université Paris-Dauphine (Paris IX) - 2013
We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We...
