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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

Background risk and the demand for state-contingent claims

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Economic theory : official journal of the Society for … 23 (2004) 2, pp. 321-335

Persistent link: https://www.econbiz.de/10001871174

Asset prices and the level of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Beiträge zur Mikro- und zur Makroökonomik : …, (pp. 157-171). 2001

Persistent link: https://www.econbiz.de/10014553662

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

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

Risk taking with additive and multiplicative background risks

Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - In: Journal of economic theory 146 (2011) 4, pp. 1547-1568

Persistent link: https://www.econbiz.de/10009261956

The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence

Huang, James; Stapleton, Richard C. - In: Economics letters 134 (2015), pp. 34-36

Persistent link: https://www.econbiz.de/10011432171

Cautiousness, skewness preference, and the demand for options

Huang, James; Stapleton, Richard C. - In: Review of finance : journal of the European Finance … 18 (2014) 6, pp. 2375-2395

Persistent link: https://www.econbiz.de/10011288501

Higher-order risk vulnerability

Huang, James; Stapleton, Richard C. - In: Economic theory : official journal of the Society for … 63 (2017) 2, pp. 387-406

Persistent link: https://www.econbiz.de/10011723590

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