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dc.contributor.authorFranke, Günteren
dc.contributor.authorSchlesinger, Harrisen
dc.contributor.authorStapleton, Richard C.en
dc.date.accessioned2005-03-02-
dc.date.accessioned2010-05-14T12:00:27Z-
dc.date.available2010-05-14T12:00:27Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:bsz:352-opus-10089en
dc.identifier.urihttp://hdl.handle.net/10419/32149-
dc.description.abstractAlthough there has been much attention in recent years on the effects of additive background risks, the same is not true for its multiplicative counterpart. We consider random wealth of the multiplicative form xy, where x and y are statistically independent random variables. We assume that y is endogenous to the economic agent, but that is an exogenous and nontradable background risk, which represents a type of market incompleteness. Our main focus is on how the presence of the multiplicative background risk y affects risk-taking behavior for decisions on the choice of x. We characterize conditions on preferences that lead to more cautious behavior.en
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x03/05en
dc.subject.jelD81en
dc.subject.ddc330en
dc.subject.keywordmultiplicative risken
dc.subject.keywordbackground risken
dc.subject.keywordincomplete marketsen
dc.subject.keywordstandard risk aversionen
dc.subject.keywordaffiliated utility functionen
dc.subject.keywordmultiplicative risk vulnerabilityen
dc.subject.stwErwartungsnutzenen
dc.subject.stwNutzenfunktionen
dc.subject.stwRisikopräferenzen
dc.subject.stwTheorieen
dc.titleMultiplicative background risk-
dc.type|aWorking Paperen
dc.identifier.ppn480644632en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0305-

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