Arbeitspapier
Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk
We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show that the conditions for standard risk aversion: positive, declining absolute risk aversion and prudence are necessary and sufficient for generalized risk aversion. We also derive anecessary and suÆcient condition for the agent's derived risk aversion to increase with a simple increase in background risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 00/36
- Klassifikation
-
Wirtschaft
- Thema
-
Optionspreistheorie
Anlageverhalten
Risikoaversion
Risiko
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Franke, Günter
Stapleton, Richard C.
Subrahmanyam, Marti G.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-6213
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Franke, Günter
- Stapleton, Richard C.
- Subrahmanyam, Marti G.
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2000
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