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Cautiousness in the small and in the large

Research output: Working paper

Published

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Cautiousness in the small and in the large. / Huang, James; Stapleton, Richard.

Lancaster : Lancaster University, 2012.

Research output: Working paper

Harvard

Huang, J & Stapleton, R 2012 'Cautiousness in the small and in the large' Lancaster University, Lancaster.

APA

Huang, J., & Stapleton, R. (2012). Cautiousness in the small and in the large. Lancaster University.

Vancouver

Huang J, Stapleton R. Cautiousness in the small and in the large. Lancaster: Lancaster University. 2012.

Author

Huang, James ; Stapleton, Richard. / Cautiousness in the small and in the large. Lancaster : Lancaster University, 2012.

Bibtex

@techreport{cf3a6e7f9ac44e6197360e03a87714a7,
title = "Cautiousness in the small and in the large",
abstract = "We characterize cautiousness, a downside risk aversion measure,using a simple portfolio problem in which agents invest in a stock, arisk-free bond, and an option on the stock. We present two differentcharacterizations by answering the following two questions respectively: who buys the option? who buys more options per share of the stock? Our characterizations use a strong notion of an increase in skewness defined by Van Zwet (1964).",
keywords = "cautiousness, downside risk aversion, demand for options",
author = "James Huang and Richard Stapleton",
year = "2012",
language = "English",
publisher = "Lancaster University",
type = "WorkingPaper",
institution = "Lancaster University",

}

RIS

TY - UNPB

T1 - Cautiousness in the small and in the large

AU - Huang, James

AU - Stapleton, Richard

PY - 2012

Y1 - 2012

N2 - We characterize cautiousness, a downside risk aversion measure,using a simple portfolio problem in which agents invest in a stock, arisk-free bond, and an option on the stock. We present two differentcharacterizations by answering the following two questions respectively: who buys the option? who buys more options per share of the stock? Our characterizations use a strong notion of an increase in skewness defined by Van Zwet (1964).

AB - We characterize cautiousness, a downside risk aversion measure,using a simple portfolio problem in which agents invest in a stock, arisk-free bond, and an option on the stock. We present two differentcharacterizations by answering the following two questions respectively: who buys the option? who buys more options per share of the stock? Our characterizations use a strong notion of an increase in skewness defined by Van Zwet (1964).

KW - cautiousness

KW - downside risk aversion

KW - demand for options

M3 - Working paper

BT - Cautiousness in the small and in the large

PB - Lancaster University

CY - Lancaster

ER -