Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - Université Paris-Dauphine (Paris IX) - 2013
We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional … payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree … risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions : novel …