Noise Risk and Derivative Price

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Abstract

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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Details

  • CRID
    1572543027800513664
  • NII Article ID
    110009575844
  • NII Book ID
    AA12374546
  • ISSN
    18833454
  • Text Lang
    en
  • Data Source
    • CiNii Articles

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