Strategic risk aversion

Sherrill Shaffer

Applied Financial Economics, 2011, vol. 21, issue 13, 949-956

Abstract: This article demonstrates that exaggerated risk aversion may comprise a rational form of strategic behaviour in the face of asymmetric information. Unlike some other forms of strategic behaviour analysed previously, this behaviour confers a benefit in the form of higher ex post consumption (not merely higher expected consumption or expected utility) and whether or not markets are perfectly competitive.

Keywords: strategic behaviour; risk aversion; contingent claims; asymmetric information (search for similar items in EconPapers)
Date: 2011
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Working Paper: STRATEGIC RISK AVERSION (2008)
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DOI: 10.1080/09603107.2011.556587

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