Comparative statics and portfolio choices under the phantom decision model

Iwaki, Hideo; Osaki, Yusuke

doi:10.1016/j.jbankfin.2017.07.001

Cited by 3 publications

(1 citation statement)

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“…Several papers such as Dionne et al (1995), Eeckhoudt et al (2016), Gollier (1995), Gollier and Kimball (2018), Iwaki and Osaki (2017), Choi et al (2001), Gollier and Schlesinger (2002) and Ohnishi and Osaki (2007) amongst others have examined the effect of a change in the return of a risky asset on its price. They give the conditions on preferences of the decision-maker or on the distribution of the risky asset to guarantee a decrease in the price, after an increase in the risk.…”

Section: Introductionmentioning

confidence: 99%

Asset Prices and Changes in Risk within a Bivariate Model

Jokung¹

2018

Asia-Pac Financ Markets

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This paper analyzes the effect on the price of the risky asset for both global and marginal changes, in dependent, independent, exogenous and endogenous risks. We find that global changes induce riskier behavior and decrease market prices when the utility function exhibits generalized relative risk aversions less than their benchmark values. Marginal changes in the endogenous risk decrease the market prices when all the coefficients of generalized relative risk aversion to the endogenous risk are less than their orders. Marginal changes in the exogenous risk decrease the price of the risky asset, when all the coefficients of generalized risk aversion to the exogenous risk are less than one. Positive dependence induces a decrease in the market price whereas negative dependence causes an increase in the same price. Furthermore, increasing the correlation between the two risks leads to the fall in the price of the risky asset, when the utility function of the representative investor exhibits pair-wise risk aversion. We recover the results concerning the univariate framework with additive background risk. Keywords Monotonicity • Background risk • Increase in risk • Pair-wise risk aversion • Risk aversion • Correlation B Sovan Mitra

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Section: Introductionmentioning

confidence: 99%

Asset Prices and Changes in Risk within a Bivariate Model

Jokung¹

2018

Asia-Pac Financ Markets

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Portfolio choice in the model of expected utility with a safety-first component

Jansen

Liu

2021

Decisions Econ Finan

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Beginning at the Huazhong University of Science and Technology and then at Texas A&M, you've taught courses to many undergraduate, master's and doctoral students. What was your favorite teaching principle? PERCSPECTIVES ON RESEARCH 1 Liqun Liu is a Research Scientist at the Private Enterprise Research Center. He joined the Center after earning his Ph.D. in Economics from Texas A&M University in 1998. He also received a B.S. and M.S. in Applied Mathematics from Huazhong University of Science and Technology in China. He served as an associate editor for the Journal of Economic Behavior and Organization and, along with his coauthors, received the SCOR -Geneva Risk and Insurance Review Best Paper Award for "Trade-offs for Downside Risk-Averse Decision-Makers and the Self-Protection Decision." Liu's primary research interests are public policy analysis, cost-benefit analysis, and decision analysis.

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Benchmarking project portfolios using optimality thresholds

Коротков

2021

Omega

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Comparative statics and portfolio choices under the phantom decision model

Cited by 3 publications

References 13 publications

Asset Prices and Changes in Risk within a Bivariate Model

Asset Prices and Changes in Risk within a Bivariate Model

Portfolio choice in the model of expected utility with a safety-first component

Benchmarking project portfolios using optimality thresholds

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