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Risk-taking-neutral background risks

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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100  ‎$0‎MAPA20180009341‎$a‎Franke, Guenter
24510‎$a‎Risk-taking-neutral background risks‎$c‎Guenter Franke, Harris Schlesinger, Richard C. Stapleton
520  ‎$a‎This article examines how decision making under uncertainty is affected by the presence of a linearly dependent background risk, for individuals with HARA utility. A linearly dependent background risk is a background risk that increases linearly in the chosen tradable outcome. In order to do this, we construct a parametric class of background risks that we label as risk-taking-neutral (RTN). These background risks have the property that they will not alter the decision made with respect to the market risk. As such, these RTN background risks provide a benchmark. In many situations, a background risk that is faced by an investor can be compared to one from the RTN class in order to predict qualitative changes in the investor's choice decision. As this benchmark is easily available, it is convenient to use to predict these changes
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080588434‎$a‎Toma de decisiones
650 4‎$0‎MAPA20080602871‎$a‎Percepción del riesgo
650 4‎$0‎MAPA20080582418‎$a‎Riesgo financiero
650 4‎$0‎MAPA20080602444‎$a‎Matemática financiera
7001 ‎$0‎MAPA20080648664‎$a‎Schlesinger, Harris
700  ‎$0‎MAPA20180009365‎$a‎Stapleton, Richard C.
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/06/2018 Volumen 85 Número 2 - junio 2018 , p. 335-353