Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
957168 | Journal of Economic Theory | 2011 | 13 Pages |
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
Authors
Chiaki Hara, James Huang, Christoph Kuzmics,