Hara, Chiaki; Huang, James; Kuzmics, Christoph - In: Journal of Economic Theory 146 (2011) 1, pp. 346-358
We provide necessary and sufficient conditions on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for options...