Preserving Risk Aversion Under a Background Risk

2013 ◽  
Author(s):  
Jingyuan Li
Keyword(s):  
Risk Aversion ◽  
Background Risk

Complete monotonicity, background risk, and risk aversion

1997 ◽  
Vol 34 (3) ◽  
pp. 205-222 ◽  
Author(s):  
Jordi Caballé ◽  
Alexey Pomansky
Keyword(s):  
Risk Aversion ◽  
Background Risk ◽  
Complete Monotonicity

Decreasing Downside Risk Aversion and Background Risk

2014 ◽  
Author(s):  
David Crainich ◽  
Louis Eeckhoudt ◽  
Olivier Le Courtois
Keyword(s):  
Risk Aversion ◽  
Downside Risk ◽  
Background Risk ◽  
Downside Risk Aversion

Decreasing downside risk aversion and background risk

2014 ◽  
Vol 53 ◽  
pp. 59-63 ◽  
Author(s):  
David Crainich ◽  
Louis Eeckhoudt ◽  
Olivier Le Courtois
Keyword(s):  
Risk Aversion ◽  
Downside Risk ◽  
Background Risk ◽  
Downside Risk Aversion

scholarly journals The Effect of Prudence on the Optimal Allocation in Possibilistic and Mixed Models

Mathematics ◽  
2018 ◽  
Vol 6 (8) ◽  
pp. 133 ◽  
Author(s):  
Irina Georgescu
Keyword(s):  
Risk Aversion ◽  
Portfolio Choice ◽  
Fuzzy Number ◽  
Mixed Models ◽  
Fuzzy Numbers ◽  
Optimal Allocation ◽  
Random Variables ◽  
Background Risk ◽  
Investment Risk ◽  
Approximate Formulas

In this paper, several portfolio choice models are studied: a purely possibilistic model in which the return of the risky is a fuzzy number, and four models in which the background risk appears in addition to the investment risk. In these four models, risk is a bidimensional vector whose components are random variables or fuzzy numbers. Approximate formulas of the optimal allocation are obtained for all models, expressed in terms of some probabilistic or possibilistic moments, depending on the indicators of the investor preferences (risk aversion, prudence).

scholarly journals Comparative Risk Aversion under Background Risk Revisited

2010 ◽  
Vol 2010 ◽  
pp. 1-5
Author(s):  
Masamitsu Ohnishi ◽  
Yusuke Osaki
Keyword(s):  
Risk Aversion ◽  
Utility Function ◽  
Background Risk ◽  
Empirical Literature ◽  
Sufficient Condition ◽  
Von Neumann ◽  
Single Crossing ◽  
Comparative Risk ◽  
Comparative Risk Aversion

This paper determines a new sufficient condition of the (von Neumann-Morgenstern) utility function that preserves comparative risk aversion under background risk. It is the single crossing condition of risk aversion. Because this condition requires monotonicity in the local sense, it may satisfy the U-shaped risk aversion observed in the recent empirical literature.

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