Dependent background risks and asset prices

Yusuke Osaki ()
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Yusuke Osaki: Graduate School of Economics, Osaka University

Economics Bulletin, 2005, vol. 4, issue 8, 1-8

Abstract: Dependent background risks which have functional forms are introduced into Lucas economies. This paper determines the conditions on preferences to guarantee the monotonicity of asset prices, when dependent background risks satisfy the monotonicity and the single crossing conditions.

Keywords: Asset; price (search for similar items in EconPapers)
JEL-codes: D8 G1 (search for similar items in EconPapers)
Date: 2005-06-22
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Citations: View citations in EconPapers (5)

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