Multiplicative Background Risk
Published Online:1 Jan 2006https://doi.org/10.1287/mnsc.1050.0450
References
- Nonparametric risk management and implied risk aversion. J. Econometrics (2000) 94:9–51Crossref, Google Scholar
- Optimal insurance in incomplete markets. J. Political Econom. (1983) 91:1045–1054Crossref, Google Scholar
- , Dionne G. Background risk, prudence and the demand for insurance. Contributions to Insurance Economics (1992) (Kluwer Academic Publishers, Boston, MA) 239–254Crossref, Google Scholar
- On risk aversion with two risks. J. Math. Econom. (1999) 31:239–250Crossref, Google Scholar
- The Economics of Risk and Time (2001) (MIT Press, Cambridge, MA) Crossref, Google Scholar
- Towards a systematic approach to the economics of uncertainty: Characterizing utility functions. (1996) . Working paper, University of Michigan, Ann Arbor, MIGoogle Scholar
- Risk vulnerability and the tempering effect of background risk. Econometrica (1996) 64:1109–1124Crossref, Google Scholar
- Risk aversion, wealth and financial market imperfections. (2001) . Discussion paper 2728, Centre for Economic Policy Research, London, UKGoogle Scholar
- Income risk, borrowing constraints and portfolio choice. Amer. Econom. Rev. (1996) 86:158–172Google Scholar
- Recovering risk aversion from option prices and realized returns. Rev. Financial Stud. (2000) 13:433–451Crossref, Google Scholar
- Risk aversion with random initial wealth. Econometrica (1981) 49:911–920Crossref, Google Scholar
- Precautionary savings in the small and in the large. Econometrica (1990) 58:53–73Crossref, Google Scholar
- Standard risk aversion. Econometrica (1993) 61:589–611Crossref, Google Scholar
- Relative risk aversion: What do we know? J. Risk Uncertainty (2005) 31:243–262Crossref, Google Scholar
- Preservation of “more risk averse” under expectations. J. Econom. Theory (1982) 28:361–368Crossref, Google Scholar
- Decreasing relative risk aversion and tests of risk sharing. Econometrica (2001) 69:515–526Crossref, Google Scholar
- Risk aversion in the small and in the large. Econometrica (1964) 32:122–136Crossref, Google Scholar
- Aversion to one risk in the presence of others. J. Risk Uncertainty (1988) 1:395–413Crossref, Google Scholar
- Proper risk aversion. Econometrica (1987) 55:143–154Crossref, Google Scholar
- Some stronger measures of risk aversion in the small and in the large with applications. Econometrica (1981) 49:621–638Crossref, Google Scholar
- Compensation, incentives, and the duality of risk aversion and riskiness. J. Finance (2004) 59:207–225Crossref, Google Scholar
- Increasing risk: I. A definition. J. Econom. Theory (1970) 2:225–243Crossref, Google Scholar

