Article ID Journal Published Year Pages File Type
957168 Journal of Economic Theory 2011 13 Pages PDF
Abstract

We provide necessary and sufficient conditions on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for options and portfolio insurance.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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