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Dependent background risks and asset prices

Author

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  • Yusuke Osaki

    (Graduate School of Economics, Osaka University)

Abstract

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.

Suggested Citation

  • Yusuke Osaki, 2005. "Dependent background risks and asset prices," Economics Bulletin, AccessEcon, vol. 4(8), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-05d80012
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    References listed on IDEAS

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    6. Lucas, Deborah J., 1994. "Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle," Journal of Monetary Economics, Elsevier, vol. 34(3), pages 325-341, December.
    7. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    8. Wagener, Andreas, 2006. "Chebyshev's Algebraic Inequality and comparative statics under uncertainty," Mathematical Social Sciences, Elsevier, vol. 52(2), pages 217-221, September.
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    Cited by:

    1. Sami Attaoui & Pierre Six, 2014. "Hedging demand and the certainty equivalent of wealth," Economics Bulletin, AccessEcon, vol. 34(3), pages 1742-1750.
    2. Octave Jokung & Sovan Mitra, 2019. "Asset Prices and Changes in Risk within a Bivariate Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 47-60, March.
    3. Osaki, Yusuke & Quiggin, John, 2007. "A Risk-neutral Characterization of Optimization and Pessimism and its Applications," Risk and Sustainable Management Group Working Papers 151180, University of Queensland, School of Economics.
    4. Osaki, Yusuke & Quiggin, John, 2008. "Stochastic dominance representation of optimistic belief: Theory and applications," Economics Letters, Elsevier, vol. 101(3), pages 275-278, December.

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    More about this item

    Keywords

    Asset price;

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G1 - Financial Economics - - General Financial Markets

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