Background risk and the demand for state-contingent claims
Background risk and the demand for state-contingent claims
复制标题
DOI：
10.1007/s00199-003-0368-1
复制
发表时间：
2004
期刊：
影响因子：
1.3
通讯作者：
Guenter Franke;R. Stapleton;M. Subrahmanyam
中科院分区：
文献类型：
--
作者：
Guenter Franke;R. Stapleton;M. Subrahmanyam
我们考虑在存在独立的零均值、不可对冲的背景风险的情况下对状态或有债权的需求。如果代理人在背景风险简单增加的情况下为或有债权选择斜率较小的需求函数，则他/她被定义为广义风险厌恶者。我们证明，标准风险厌恶的条件，即积极的、绝对风险厌恶程度下降和审慎性，是广义风险厌恶的充分必要条件。
We consider the demand for state-contingent claims, in the presence of an independent zero-mean, non-hedgeable background risk. An agent is defined to be generalized risk averse if he/she chooses a demand function for contingent claims with a smaller slope everywhere, given a simple increase in background risk. We show that the conditions for standard risk aversion, that is positive, declining absolute risk aversion and prudence, are necessary and sufficient for generalized risk aversion.