Noise Risk and Derivative Price

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説明

This paper considers a static asset market with dependent background risk, which is described as regression dependence. We examine a condition of preferences to determine if dependent background risk decreases equilibrium asset prices. In such a condition, absolute risk aversion decreases and relative risk aversion is less than unity.

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詳細情報 詳細情報について

  • CRID
    1572543027800513664
  • NII論文ID
    110009575844
  • NII書誌ID
    AA12374546
  • ISSN
    18833454
  • 本文言語コード
    en
  • データソース種別
    • CiNii Articles

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