|
|||||
|
|
Effects of background risks on cautiousness with an application to a portfolio choice problem |
|
| Authors: | Chiaki Hara James Huang |
| Institution: | a Institute of Economic Research, Kyoto University, Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501, Japan b Department of Accounting and Management, Lancaster University Management School, United Kingdom c MEDS, Kellogg School of Management, Northwestern University, United States |
| Abstract: | 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. |
| Keywords: | D51 D58 D81 G11 G12 G13 |
| 本文献已被 ScienceDirect 等数据库收录！ | |