Add to ORKG"March 31, 2008" -- Title pageWe provide a necessary and a sufficient condition 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.科学研究費補助金（特別推進研究） = Grant-in-Aid for Specially Promoted Research25 p
Economic theory suggests that uninsurable income risk and the expectation of future borrowing constr...
JEL Classification Number: O41. Black (1990) allowed wealth variability and the market’s risk premiu...
We present a necessary and sufficient condition on an agent s utility function for a simple mean pre...
Hara C, Huang J, Kuzmics C. Effects of background risks on cautiousness with an application to a por...
We establish a necessary and sufficient condition for the risk aversion of an agent’s derived utilit...
Do background risks encourage, inhibit, or have no effect on risk-taking? Uninsurable background ris...
∗ Preliminary draft, don’t quote without permission 2 The paper examines how background risk can aff...
We examine the effects of background risks on optimal portfolio choice. Examples of background risks...
In this article we establish cautiousness as a new downside risk aversion measure, using a portfolio...
Background risk, Risk aversion, Opportunity effect, Wealth effect, Random round payoff mechanism, D8...
This paper investigates the impact of multiplicative background risk on an investor's portfolio choi...
This note examines the effect of changes in risk aversion on the optimal portfolio choice in a comple...
In this paper, we show that risk vulnerability can be associated with the concept of downside risk a...
International audienceThis paper proposes additional definitions of what it means for one decision m...
We consider the demand for state contingent claims in the presence of a zero-mean, non-hedgeable bac...
Economic theory suggests that uninsurable income risk and the expectation of future borrowing constr...
JEL Classification Number: O41. Black (1990) allowed wealth variability and the market’s risk premiu...
We present a necessary and sufficient condition on an agent s utility function for a simple mean pre...
Hara C, Huang J, Kuzmics C. Effects of background risks on cautiousness with an application to a por...
We establish a necessary and sufficient condition for the risk aversion of an agent’s derived utilit...
Do background risks encourage, inhibit, or have no effect on risk-taking? Uninsurable background ris...
∗ Preliminary draft, don’t quote without permission 2 The paper examines how background risk can aff...
We examine the effects of background risks on optimal portfolio choice. Examples of background risks...
In this article we establish cautiousness as a new downside risk aversion measure, using a portfolio...
Background risk, Risk aversion, Opportunity effect, Wealth effect, Random round payoff mechanism, D8...
This paper investigates the impact of multiplicative background risk on an investor's portfolio choi...
This note examines the effect of changes in risk aversion on the optimal portfolio choice in a comple...
In this paper, we show that risk vulnerability can be associated with the concept of downside risk a...
International audienceThis paper proposes additional definitions of what it means for one decision m...
We consider the demand for state contingent claims in the presence of a zero-mean, non-hedgeable bac...
Economic theory suggests that uninsurable income risk and the expectation of future borrowing constr...
JEL Classification Number: O41. Black (1990) allowed wealth variability and the market’s risk premiu...
We present a necessary and sufficient condition on an agent s utility function for a simple mean pre...