Monotonicity of asset price toward higher changes in risk

This note gives the conditions on preferences to guarantee the monotonicity of asset prices when the payoffs of the risky asset change in the sense of the Nth stochastic dominance and with an Nth degree increase in risk. Those conditions are expressed in terms of the sign of the successive derivatives of the utility function coupled with the relative risk aversion of higher orders less than their benchmark values.

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Year of publication:	2013
Authors:	Jokung, Octave
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 1, p. 195-198
Publisher:	Elsevier
Subject:	Monotonicity \| Increase in risk \| Risk aversion \| Stochastic dominance

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Type of publication:	Article
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

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