✦ LIBER ✦

Risk aversion and risk loving in the small: a decomposition of the multivariate risk premium

✍ Scribed by Marco G. Ercolani

Book ID: 110981268
Publisher: John Wiley and Sons
Year: 2004
Tongue: English
Weight: 182 KB
Volume: 56
Category: Article
ISSN: 0307-3378
DOI: 10.1111/j.1467-8586.2004.00190.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Volatility Risk Premium, Risk Aversion,

Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns

✍ Peter Nyberg; Anders Wilhelmsson 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 168 KB

Heterogeneity of First-order Risk Aversi

Heterogeneity of First-order Risk Aversion and the Equity Premium

✍ Wataru Ohta 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 389 KB

Many good risks: An interpretation of mu

Many good risks: An interpretation of multivariate risk and risk aversion without the Independence axiom

✍ Simon Grant; Atsushi Kajii; Ben Polak 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 800 KB

The stock market premium, production, an

The stock market premium, production, and relative risk aversion: A generalization

✍ Jaeho Cho 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 246 KB

The stock market premium, production, an

The stock market premium, production, and relative risk aversion: A generalization

✍ Jaeho Cho 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 246 KB

This article shows that disentangling risk aversion and intertemporal substitution does not affect the result of Benninga and Protopapadakis (1991) that the risk premium in a complete market may well be negatively related with risk aversion.

Risk aversion in the small and Jensen in

Risk aversion in the small and Jensen inequalities

✍ Luigi Montrucchio; Luisa Tibiletti 📂 Article 📅 1993 🏛 Springer Milan 🌐 English ⚖ 704 KB