Multiplicative Background Risk
Multiplicative Background Risk
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DOI：
10.1287/mnsc.1050.0450
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
G. Franke;H. Schlesinger;R. Stapleton
中科院分区：
文献类型：
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作者：
G. Franke;H. Schlesinger;R. Stapleton
尽管近年来人们对可加性背景风险的影响关注甚多，但对可乘性背景风险的影响却并非如此。我们考虑乘式xy的随机财富，其中x和y是统计上独立的随机变量。我们假设x是经济主体内生的，而y是外生的、不可交易的背景风险，代表一种市场不完全性。我们主要关注的是乘法背景风险y的存在如何影响选择x的决策的冒险行为。我们扩展了Gollier和Pratt（1996）的结果，以表征导致更谨慎行为的偏好条件。
Although there has been much attention in recent years on the effects of additive background risks, the same is not true for its multiplicative counterpart. We consider random wealth of the multiplicative form xy, where x and y are statistically independent random variables. We assume that x is endogenous to the economic agent but that y is an exogenous and nontradable background risk that represents a type of market incompleteness. Our main focus is on how the presence of the multiplicative background risk y affects risk-taking behavior for decisions on the choice of x. We extend the results of Gollier and Pratt (1996) to characterize conditions on preferences that lead to more cautious behavior.