On bivariate risk premia

被引：10

作者：

Courbage C. ^{[1
]}

机构：

[1] University of Geneva, Department of Political Economy, CH-1211 Genève 4

来源：

Theory and Decision | 2001年 / 50卷 / 1期

关键词：

Bivariate risk premium; Correlated risks; Cross derivatives; Multivariate risk aversion; Partial bivariate risk premium;

D O I：

10.1023/A:1005213530647

中图分类号：

学科分类号：

摘要：

This note examines the conditions under which the bivariate risk premium for one risk may be negative even if both risks are positively correlated, using a mean variance setting. The link between the bivariate risk premium and the partial bivariate risk premia is also investigated.

引用

页码：29 / 34

页数：5

共 15 条

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