Monotonicity of asset price toward higher changes in risk

Octave Jokung

Economics Letters, 2013, vol. 118, issue 1, 195-198

Abstract: This note gives the conditions on preferences to guarantee the monotonicity of asset prices when the payoffs of the risky asset change in the sense of the Nth stochastic dominance and with an Nth degree increase in risk. Those conditions are expressed in terms of the sign of the successive derivatives of the utility function coupled with the relative risk aversion of higher orders less than their benchmark values.

Keywords: Monotonicity; Increase in risk; Risk aversion; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:195-198

DOI: 10.1016/j.econlet.2012.09.018

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