Higher-order risk attitudes toward correlation

Research output: Other contributionOther outputsResearchpeer-review

Abstract

Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, we consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical result in this paper proposes new insights into economic and financial applications such as risk aversion in the presence of another risk, bivariate stochastic dominance and justifying the first-order approach to moral hazard principal-agent problems.
Original languageEnglish
DOIs
Publication statusPublished - 28 May 2013

Publication series

NameSocial Science Research Network

Fingerprint

Risk attitude
Risk aversion
Economics
Temperance
Moral hazard
First-order approach
Principal-agent problem
Prudence
Stochastic dominance

Cite this

LI, Jingyuan. / Higher-order risk attitudes toward correlation. 2013. (Social Science Research Network).
@misc{8bb0b513bdc644a39b7ec9ca271f033d,
title = "Higher-order risk attitudes toward correlation",
abstract = "Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, we consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical result in this paper proposes new insights into economic and financial applications such as risk aversion in the presence of another risk, bivariate stochastic dominance and justifying the first-order approach to moral hazard principal-agent problems.",
author = "Jingyuan LI",
year = "2013",
month = "5",
day = "28",
doi = "10.2139/ssrn.2270995",
language = "English",
series = "Social Science Research Network",
type = "Other",

}

Higher-order risk attitudes toward correlation. / LI, Jingyuan.

2013, . (Social Science Research Network).

Research output: Other contributionOther outputsResearchpeer-review

TY - GEN

T1 - Higher-order risk attitudes toward correlation

AU - LI, Jingyuan

PY - 2013/5/28

Y1 - 2013/5/28

N2 - Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, we consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical result in this paper proposes new insights into economic and financial applications such as risk aversion in the presence of another risk, bivariate stochastic dominance and justifying the first-order approach to moral hazard principal-agent problems.

AB - Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, we consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical result in this paper proposes new insights into economic and financial applications such as risk aversion in the presence of another risk, bivariate stochastic dominance and justifying the first-order approach to moral hazard principal-agent problems.

UR - https://commons.ln.edu.hk/sw_master/2728

U2 - 10.2139/ssrn.2270995

DO - 10.2139/ssrn.2270995

M3 - Other outputs

T3 - Social Science Research Network

ER -