Risky Choices and Correlated Background Risk

References

• Allayannis G., Ihrig J. Exposure and markups. Rev. Financial Stud. (2001) 14(3):805–835Crossref, Google Scholar
• Arrondel L., Calvo Pardo H. Portfolio choice and background risk: Theory and evidence. (2003) . Working paper, Département et Laboratoire d’Économie Théorique et Appliquée, École Normale Supérieure, Paris, FranceGoogle Scholar
• Bell D. E. One-switch utility functions and a measure of risk. Management Sci. (1988) 34(12):1416–1424Link, Google Scholar
• Bell D. E. A contextual uncertainty condition for behavior under risk. Management Sci. (1995a) 41(7):1145–1150Link, Google Scholar
• Bell D. E. Risk, return, and utility. Management Sci. (1995b) 41(1):23–30Link, Google Scholar
• Bliss R. R., Panigirtzoglou N. Option-implied risk aversion estimates. J. Finance (2004) 59(1):407–446Crossref, Google Scholar
• Clemen R. T., Reilly T. Correlations and copulas for decision and risk analysis. Management Sci. (1999) 45(2):208–224Link, Google Scholar
• Clemen R. T., Fischer G. W., Winkler R. L. Assessing dependence: Some experimental results. Management Sci. (2000) 46(8):1100–1115Link, Google Scholar
• Eeckhoudt L., Gollier C.Risk: Evaluation, Management and Sharing (1995) (Trans. V. Lambson. Harvester Wheatsheaf, Hertfordshire, UK) Google Scholar
• Franke G., Schlesinger H., Stapleton R. C. Multiplicative background risk. (2005) . Discussion paper, Zentrum für Finanzen und Ökonometrie, Universität Konstanz, Konstanz, GermanyGoogle Scholar
• Gokhale D. V., Press S. J. Assessment of a prior distribution for the correlation coefficient in a bivariate normal distribution. J. Roy. Statist. Soc. Ser. A (1982) 145(2):237–249Crossref, Google Scholar
• Gollier C.The Economics of Risk and Time (2001) (MIT Press, Cambridge, MA) Crossref, Google Scholar
• Gollier C., Eeckhoudt L. Are independent optimal risks substitutes? (2001) . Working paper, University of Toulouse, Toulouse, FranceGoogle Scholar
• Gollier C., Pratt J. W. Risk vulnerability and the tempering effect of background risk. Econometrica (1996) 64(5):1109–1123Crossref, Google Scholar
• He J., Ng L. K. The foreign exchange exposure of Japanese multinational corporations. J. Finance (1998) 53(2):733–753Crossref, Google Scholar
• Heaton J., Lucas D. Portfolio choice in the presence of background risk. Econom. J. (2000) 110(460):1–26Google Scholar
• Howard R. A. Decision analysis: Practice and promise. Management Sci. (1988) 34(6):679–695Link, Google Scholar
• Jorion P. The exchange-rate exposure of U.S. multinationals. J. Bus. (1990) 63(3):331–345Crossref, Google Scholar
• Kadane J. B., Winkler R. L. Separating probability elicitation from utilities. J. Amer. Statist. Assoc. (1988) 83(2):357–363Crossref, Google Scholar
• Kihlstrom R. E., Romer D., Williams S. Risk aversion with random initial wealth. Econometrica (1981) 49(4):911–920Crossref, Google Scholar
• Kimball M. S. Precautionary saving in the small and in the large. Econometrica (1990) 58(1):58–73Crossref, Google Scholar
• Kimball M. S. Standard risk aversion. Econometrica (1993) 61(3):589–611Crossref, Google Scholar
• Kunda Z., Nisbett R. E. The psychometrics of everyday life. Cognitive Psych. (1986) 18(2):195–224Crossref, Google Scholar
• Levich R. M., Hayt G. S., Ripston B. A. 1998 survey of derivatives and risk management practices by U.S. institutional investors. (1999) . Working paper 99-074, Finance Department, New York University, New YorkGoogle Scholar
• Mehra R., Prescott E. C. The equity premium: A puzzle. J. Monetary Econom. (1985) 15(2):145–161Crossref, Google Scholar
• Menezes C. F., Hanson D. L. On the theory of risk aversion. Internat. Econom. Rev. (1970) 11(3):481–487Crossref, Google Scholar
• Milgrom P. R., Weber R. J. A theory of auctions and competitive bidding. Econometrica (1982) 50(5):1089–1122Crossref, Google Scholar
• Nachman D. C. Preservation of “more risk averse” under expectations. J. Econom. Theory (1982) 28(2):361–368Crossref, Google Scholar
• Pratt J. W. Risk aversion in the small and in the large. Econometrica (1964) 32(1/2):122–136Crossref, Google Scholar
• Pratt J. W. Aversion to one risk in the presence of others. J. Risk Uncertainty (1988) 1(14):395–413Crossref, Google Scholar
• Pratt J. W., Zeckhauser R. J. Proper risk aversion. Econometrica (1987) 55(1):143–154Crossref, Google Scholar
• Ross S. A. Some stronger measures of risk aversion in the small and in the large with applications. Econometrica (1981) 49(3):621–638Crossref, Google Scholar
• Ross S. A. Adding risks: Samuelson’s fallacy of large numbers revisited. J. Financial Quant. Anal. (1999) 34(3):323–339Crossref, Google Scholar
• Samuelson P. A. Risk and uncertainty: A fallacy of large numbers. Scientia (1963) 98:108–113Google Scholar
• Zeckhauser R., Keeler E. Another type of risk aversion. Econometrica (1970) 38(5):661–665Crossref, Google Scholar