Noise Risk and Derivative Price

Search this article

Description

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.

Journal

Keywords

Details 詳細情報について

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

Report a problem

Back to top