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

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Effects of background risks on cautiousness with an application to a portfolio choice problem. / Hara, Chiaki; Huang, James; Kuzmics, Christoph.

In: Journal of Economic Theory, Vol. 146, No. 1, 01.2011, p. 346-358.

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Hara, Chiaki ; Huang, James ; Kuzmics, Christoph. / Effects of background risks on cautiousness with an application to a portfolio choice problem. In: Journal of Economic Theory. 2011 ; Vol. 146, No. 1. pp. 346-358.

Bibtex

@article{55b7b7929070422eb104127dbf72b857,
title = "Effects of background risks on cautiousness with an application to a portfolio choice problem",
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 = "Risk aversion, risk tolerance, cautiousness, portfolio insurance, idiosyncratic risks, background risks, incomplete markets",
author = "Chiaki Hara and James Huang and Christoph Kuzmics",
year = "2011",
month = jan,
doi = "10.1016/j.jet.2010.08.005",
language = "English",
volume = "146",
pages = "346--358",
journal = "Journal of Economic Theory",
issn = "0022-0531",
publisher = "ELSEVIER ACADEMIC PRESS INC",
number = "1",

}

RIS

TY - JOUR

T1 - Effects of background risks on cautiousness with an application to a portfolio choice problem

AU - Hara, Chiaki

AU - Huang, James

AU - Kuzmics, Christoph

PY - 2011/1

Y1 - 2011/1

N2 - 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.

AB - 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.

KW - Risk aversion

KW - risk tolerance

KW - cautiousness

KW - portfolio insurance

KW - idiosyncratic risks

KW - background risks

KW - incomplete markets

U2 - 10.1016/j.jet.2010.08.005

DO - 10.1016/j.jet.2010.08.005

M3 - Journal article

VL - 146

SP - 346

EP - 358

JO - Journal of Economic Theory

JF - Journal of Economic Theory

SN - 0022-0531

IS - 1

ER -