Asset Prices and Changes in Risk within a Bivariate Model
Author
Abstract
Suggested Citation
DOI: 10.1007/s10690-018-9255-4
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Louis Eeckhoudt & Liqun Liu & Jack Meyer, 2017.
"Restricted increases in risk aversion and their application,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(1), pages 161-181, June.
- Louis Eeckhoudt & Liqun Liu & Jack Meyer, 2016. "Restricted increases in risk aversion and their application," Post-Print hal-01533535, HAL.
- Iwaki, Hideki & Osaki, Yusuke, 2017. "Comparative statics and portfolio choices under the phantom decision model," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 1-8.
- Cheng, Hsueh-Cheng & Magill, Michael J P & Shafer, Wayne J, 1987. "Some Results on Comparative Statics under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 493-507, June.
- Christian Gollier & Miles S. Kimball, 2018.
"New methods in the classical economics of uncertainty: comparing risks,"
The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 5-23, May.
- Christian Gollier & Miles S. Kimball, 2018. "New methods in the classical economics of uncertainty: comparing risks," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 5-23, May.
- Gollier, C. & Kimball, M.S., 1996. "New Methods in the Classical Economics of Uncertainty: Comparing Risks," Papers 96.412, Toulouse - GREMAQ.
- repec:ebl:ecbull:v:4:y:2005:i:8:p:1-8 is not listed on IDEAS
- Christian Gollier (ed.), 2018. "The Economics of Risk and Uncertainty," Books, Edward Elgar Publishing, number 17427.
- Meer, Jonathan & Miller, Douglas L. & Rosen, Harvey S., 2003.
"Exploring the health-wealth nexus,"
Journal of Health Economics, Elsevier, vol. 22(5), pages 713-730, September.
- Jonathan Meer & Douglas L. Miller & Harvey S. Rosen, 2003. "Exploring the Health-Wealth Nexus," NBER Working Papers 9554, National Bureau of Economic Research, Inc.
- Eeckhoudt, Louis & Etner, Johanna & Schroyen, Fred, 2009.
"The values of relative risk aversion and prudence: A context-free interpretation,"
Mathematical Social Sciences, Elsevier, vol. 58(1), pages 1-7, July.
- L. Eeckhoudt & J. Etner & F. Schroyen, 2009. "The values of relative risk aversion and prudence: a context-free interpretation," Post-Print halshs-00485643, HAL.
- EECKHOUDT, Louis & ETNER, Johanna & SCHROYEN, Fred, 2009. "The values of relative risk aversion and prudence: A context-free interpretation," LIDAM Reprints CORE 2162, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peter C. Fishburn & R. Burr Porter, 1976. "Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk," Management Science, INFORMS, vol. 22(10), pages 1064-1073, June.
- Larry G. Epstein & Stephen M. Tanny, 1980. "Increasing Generalized Correlation: A Definition and Some Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 13(1), pages 16-34, February.
- Scott F. Richard, 1975. "Multivariate Risk Aversion, Utility Independence and Separable Utility Functions," Management Science, INFORMS, vol. 22(1), pages 12-21, September.
- Gollier Christian, 1995. "The Comparative Statics of Changes in Risk Revisited," Journal of Economic Theory, Elsevier, vol. 66(2), pages 522-535, August.
- Yusuke Osaki, 2005. "Dependent background risks and asset prices," Economics Bulletin, AccessEcon, vol. 4(8), pages 1-8.
- Fan, Elliott & Zhao, Ruoyun, 2009. "Health status and portfolio choice: Causality or heterogeneity?," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1079-1088, June.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Edwards, Ryan D, 2008. "Health Risk and Portfolio Choice," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 472-485.
- Choi, Gyemyung & Kim, Iltae & Snow, Arthur, 2001. "Comparative Statics Predictions for Changes in Uncertainty in the Portfolio and Savings Problems," Bulletin of Economic Research, Wiley Blackwell, vol. 53(1), pages 61-72, January.
- Gollier, Christian & Schlesinger, Harris, 2002.
"Changes in risk and asset prices,"
Journal of Monetary Economics, Elsevier, vol. 49(4), pages 747-760, May.
- Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo.
- Pang, Gaobo & Warshawsky, Mark, 2010. "Optimizing the equity-bond-annuity portfolio in retirement: The impact of uncertain health expenses," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 198-209, February.
- Scarsini, Marco, 1985.
"Stochastic dominance with pair-wise risk aversion,"
Journal of Mathematical Economics, Elsevier, vol. 14(2), pages 187-201, April.
- Marco Scarsini, 1985. "Stochastic dominance with pair-wise risk aversion," Post-Print hal-00542275, HAL.
- Yusuke Osaki, 2005. "Dependent Background Risks and Asset Prices," Discussion Papers in Economics and Business 05-13, Osaka University, Graduate School of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Octave Jokung & Sovan Mitra, 2020. "Health Care Investment: The Case of Multiple Sources of Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 231-255, June.
- Jokung, Octave, 2013. "Monotonicity of asset price toward higher changes in risk," Economics Letters, Elsevier, vol. 118(1), pages 195-198.
- Masamitsu Ohnishi & Yusuke Osaki, 2005. "The Monotonicity of Asset Prices with Changes in Risk," Discussion Papers in Economics and Business 05-14, Osaka University, Graduate School of Economics.
- Burton Hollifield & Alan Kraus, 2009.
"Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand,"
Management Science, INFORMS, vol. 55(7), pages 1227-1236, July.
- Burton Hollifield & Alan Kraus, "undated". "Defining bad news: Changes in return distribution that decrease risky asset demand," GSIA Working Papers 2007-E32, Carnegie Mellon University, Tepper School of Business.
- Gollier, Christian & Schlesinger, Harris, 2002.
"Changes in risk and asset prices,"
Journal of Monetary Economics, Elsevier, vol. 49(4), pages 747-760, May.
- Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo.
- Jokung, Octave, 2011. "Risk apportionment via bivariate stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 448-452.
- Christian Gollier & James Hammitt & Nicolas Treich, 2013.
"Risk and choice: A research saga,"
Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
- Gollier, Christian & Hammitt, James K. & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," IDEI Working Papers 804, Institut d'Économie Industrielle (IDEI), Toulouse.
- Gollier, Christian & Hammitt, James K. & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
- Courbage, Christophe & Rey, Béatrice, 2012. "Priority setting in health care and higher order degree change in risk," Journal of Health Economics, Elsevier, vol. 31(3), pages 484-489.
- Attema, Arthur E. & l’Haridon, Olivier & van de Kuilen, Gijs, 2019.
"Measuring multivariate risk preferences in the health domain,"
Journal of Health Economics, Elsevier, vol. 64(C), pages 15-24.
- Arthur Attema & Olivier L’haridon & Gijs van de Kuilen, 2019. "Measuring Multivariate Risk Preferences in the Health Domain," Post-Print halshs-01970236, HAL.
- Denuit, Michel & Rey, Béatrice, 2013. "Another look at risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 49(4), pages 335-343.
- Julien Hugonnier & Florian Pelgrin, 2013.
"Health and (Other) Asset Holdings,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 663-710.
- Julien Hugonnier & Florian Pelgrin & Pascal St-Amour, 2009. "Health and (other) Asset Holdings," Swiss Finance Institute Research Paper Series 09-18, Swiss Finance Institute.
- Jimin Hong & Kyungsun Kim, 2021. "Self-insurance and saving under a two-argument utility framework," Journal of Economics, Springer, vol. 134(1), pages 73-94, September.
- Jouini, E. & Napp, C., 2008.
"On Abel's concept of doubt and pessimism,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3682-3694, November.
- Elyès Jouini & Clotilde Napp, 2008. "On Abel's Concept of Doubt and Pessimism," Post-Print halshs-00176611, HAL.
- Finkelshtain, Israel & Kella, Offer & Scarsini, Marco, 1999.
"On risk aversion with two risks,"
Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 239-250, March.
- Marco Scarsini & Israel Finkelshtain & Offer Kella, 1999. "On risk aversion with two risks," Post-Print hal-00540256, HAL.
- David A. Love & Paul A. Smith, 2010.
"Does health affect portfolio choice?,"
Health Economics, John Wiley & Sons, Ltd., vol. 19(12), pages 1441-1460, December.
- David A. Love & Paul A. Smith, 2007. "Does health affect portfolio choice?," Finance and Economics Discussion Series 2007-45, Board of Governors of the Federal Reserve System (U.S.).
- David Love & Paul A. Smith, 2008. "Does Health Affect Portfolio Choice?," Department of Economics Working Papers 2008-11, Department of Economics, Williams College.
- Crainich, David & Eeckhoudt, Louis & Le Courtois, Olivier, 2017.
"Health and portfolio choices: A diffidence approach,"
European Journal of Operational Research, Elsevier, vol. 259(1), pages 273-279.
- David Crainich & Louis Eeckhoudt & Olivier Le Courtois, 2017. "Health and portfolio choices: A diffidence approach," Post-Print hal-01667390, HAL.
- David Crainich & Louis Eeckhoudt & Olivier Le Courtois, 2017. "Health and portfolio choices : a diffidence approach," Post-Print hal-02311924, HAL.
- Gregor Dorfleitner & Michael Krapp, 2007. "On multiattributive risk aversion: some clarifying results," Review of Managerial Science, Springer, vol. 1(1), pages 47-63, April.
- Donatella Baiardi & Marco Magnani & Mario Menegatti, 2020. "The theory of precautionary saving: an overview of recent developments," Review of Economics of the Household, Springer, vol. 18(2), pages 513-542, June.
- Antoine Bommier & François Grand, 2014. "Too risk averse to purchase insurance?," Journal of Risk and Uncertainty, Springer, vol. 48(2), pages 135-166, April.
- W. Chiu & Louis Eeckhoudt & Beatrice Rey, 2012.
"On relative and partial risk attitudes: theory and implications,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 151-167, May.
- CHIU, W. Henry & EECKHOUDT, Louis & REY, Béatrice, 2012. "On relative and partial risk attitudes: theory and implications," LIDAM Reprints CORE 2431, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Eeckhoudt & H. Chiu & Béatrice Rey, 2012. "On relative and partial risk attitudes : theory and implications," Post-Print hal-00573294, HAL.
More about this item
Keywords
Monotonicity; Background risk; Increase in risk; Pair-wise risk aversion; Risk aversion; Correlation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:26:y:2019:i:1:d:10.1007_s10690-018-9255-4. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.