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Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

Persistent link: https://www.econbiz.de/10010324068

Risk aversion and the intertemporal behaviour of asset prices

Stapleton, Richard C.; Subrahmanyam, Marti G. - 1988

Persistent link: https://www.econbiz.de/10000776807

Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

Persistent link: https://www.econbiz.de/10011544342

The public investment decision under uncertainty : a mean-variance synthesis

Subrahmanyam, Marti G.; Swirski, Moises - In: The performance of public enterprises : concepts and …, (pp. 119-155). 1984

Persistent link: https://www.econbiz.de/10002895605

Systematic risk and the theory of the firm

Subrahmanyam, Marti G.; Thomadakis, Stavros B. - In: The quarterly journal of economics 94 (1980) 3, pp. 437-451

Persistent link: https://www.econbiz.de/10002895626

Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

Persistent link: https://www.econbiz.de/10001544833

The risk of a currency swap : a multivariate-binomial methodology

Ho, Teng-suan - In: European financial management : the journal of the … 4 (1998) 1, pp. 9-27

Persistent link: https://www.econbiz.de/10001244085

Risk aversion and the intertemporal behavior of asset prices

Stapleton, Richard C. - In: The review of financial studies 3 (1990) 4, pp. 677-693

Persistent link: https://www.econbiz.de/10001105885

Who buys and who sells options : the role of options in an economy with background risk

Franke, Günter - In: Journal of economic theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001246473

A dynamic model of the regulated firm under uncertainty

Subrahmanyam, Marti G. - 1974

Persistent link: https://www.econbiz.de/10000930053

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