Increase in Risk and Comparative Static Analysis

スポンサーリンク

概要

• 論文の詳細を見る

• In this paper we discuss signing of comparative statics analysis under uncertainty. We define change of risk by a mean preserving simple transformation (abbrev. MPST) of random variables. We show that the signs of the partial derivatives of pay-off functions do not uniquely determine the signs of comparative statics effects of an increase of risk in the sense of MPST.

• 京都大学大学院経済学研究科の論文

著者

• Iwaki Hideki

  Kyoto University

• Nariu Tatsuhiko

  Kyoto University

関連論文

• AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Increase in Risk and Comparative Static Analysis

スポンサーリンク