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Idiosyncratic risk, sharing rules and the theory o risk bearing

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Persistent link: https://www.econbiz.de/10000838714

Idiosyncratic risk, sharing rules and the theory of risk bearing

Franke, Günter - 1992

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Risk aversion and the intertemporal behaviour of asset prices

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Idiosyncratic risk, sharing rules and the theory of risk bearing

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1993 - Current rev.: December 1992

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Risk aversion and the intertemporal behavior of asset prices

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Standard risk aversion and the demand for risky assets in the presence of background risk

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Idiosyncratic risk, sharing rules, and the theory of risk bearing

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1992

The choice of an agent between risky and riskless assets is complicated by the existence of idiosyncratic risk. In this paper the agent chooses state-dependent shares of aggregate marketable income (a sharing rule) to provide a partial hedge against the idiosyncratic risk. The agent's Utility...

Persistent link: https://www.econbiz.de/10009774735