Dependent Background Risks and Asset Prices

Dependent background risks which have functional forms are introduced into Lucas economies. This paper determines the conditions on preferences to guarantee the monotonicity of asset prices, when dependent background risks satisfy the monotonicity and the single crossing conditions.

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Year of publication:	2005-05
Authors:	Osaki, Yusuke
Institutions:	Graduate School of Economics, Osaka University
Subject:	Asset Price \| Dependent Background Risk \| Monotonicity \| Single Crossing Condition

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Extent:	application/pdf
Series:	Discussion Papers in Economics and Business.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 05-13 11 pages
Classification:	D51 - Exchange and Production Economies ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005710056