论文信息 - Effects of background risks on cautiousness with an application to a portfolio choice problem

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

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. © 2010 Elsevier Inc. All rights reserved. JEL classification: D51; D58; D81; G11; G12; G13

Chiaki Hara | Christoph Kuzmics | James Huang

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