相关非财务背景风险存在下的财务风险承担

W. Chiu
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引用次数: 0

摘要

本文描述了在存在相关的非金融背景风险的情况下,采取零均值金融风险所导致的随机恶化。我们特别证明了它具有等效的随机阶,以及一个必要和充分的“积分条件”,该条件暗示并被隐含在一个特定的意义上,其中随机退化可以分解为“相关增加”和“边际风险增加”。我们进一步描述了对随机恶化的厌恶程度。这些特征为制定风险和相关性增加的概念提供了一个更一般的框架,并为更好地理解由个人对风险的态度所支配的风险管理决策提供了更好的理解。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Financial Risk Taking in the Presence of Correlated Non-Financial Background Risk
This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as a necessary and sufficient "integral condition'' that implies and is implied by a particular sense in which the stochastic deterioration can be decomposed into a "correlation increase'' and a "marginal risk increase''. We further characterize a measure of aversion to the stochastic deterioration. These characterizations provide for a more general framework for formulating concepts of increases in risk and correlation and for better understanding risk management decisions governed by individuals' attitudes to them.
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