ダウンロード数: 226
| タイトル: | Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem |
| 著者: | Hara, Chiaki Huang, James Kuzmics, Christoph |
| キーワード: | Risk aversion risk tolerance cautiousness portfolio insurance idiosyncratic risks background risks incomplete markets |
| 発行日: | Jun-2008 |
| 出版者: | Institute of Economic Research, Kyoto University |
| 誌名: | KIER Discussion Paper |
| 巻: | 654 |
| 抄録: | 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 and portfolio insurance. |
| URI: | http://hdl.handle.net/2433/129563 |
| 関連リンク: | http://ideas.repec.org/p/kyo/wpaper/654.html |
| 出現コレクション: | KIER Discussion Paper (英文版) |
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