Effects of background risks on cautiousness with an application to a portfolio choice problem

DOI10.1016/J.JET.2010.08.005zbMath1244.91030OpenAlexW2024252055MaRDI QIDQ629337

Chiaki Hara, Christoph Kuzmics, James Huang

Publication date: 9 March 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2010.08.005

zbMATH Keywords

incomplete marketsrisk aversionportfolio insurancerisk tolerancebackground riskscautiousnessidiosyncratic risks

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08) Portfolio theory (91G10)

Related Items (6)

Mean-risk model for uncertain portfolio selection with background risk ⋮ Mean-risk model for uncertain portfolio selection with background risk and realistic constraints ⋮ Uncertain portfolio selection with background risk ⋮ Higher-order risk vulnerability ⋮ Uncertain portfolio selection with background risk and liquidity constraint ⋮ Convex and decreasing absolute risk aversion is proper

Cites Work

• Unnamed Item
• Preservation of More risk averse under expectations
• Who buys and who sells options: the role of options in an economy with background risk
• Representative consumer's risk aversion and efficient risk-sharing rules
• Risk Aversion with Random Initial Wealth
• Risk Vulnerability and the Tempering Effect of Background Risk
• Equilibrium in a Reinsurance Market

This page was built for publication: Effects of background risks on cautiousness with an application to a portfolio choice problem