Essays on Multivariate Risk

Activity: Talks or PresentationsOther Invited Talks or Presentations


The essays focus on the analysis of multivariate risk, and they present insights in three papers. The first explores a general choice-theoretic characterization of the duality that exists between a mean-utility-preserving increase in correlation and an increase correlation aversion. This sheds light on monotone comparative statics and characterizes cross-partial derivatives of the utility function. The second paper extends stochastic dominance to bivariate analysis by incorporating a reference function. Our approach offers flexibility in the selection of a reference function, improving upon previous studies by addressing their limitations more cohesively. Finally, the last paper investigates optimal prevention in the presence of correlated non-financial background risk. Under positive correlation, cross-prudence in the non-financial attribute is found to lower optimal prevention.
Period30 Apr 2024
Event titlePostgraduate Seminar Series
Event typePublic Lecture