Theory and Decision

, Volume 50, Issue 1, pp 29-34

First online:

On Bivariate Risk Premia

  • Christophe CourbageAffiliated withDepartment of Political Economy, University of Geneva Email author 

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This note examines the conditions under which the bivariate risk premium for one risk may be negative even if both risks are positively correlated, using a mean variance setting. The link between the bivariate risk premium and the partial bivariate risk premia is also investigated.

Multivariate risk aversion Bivariate risk premium Partial bivariate risk premium Correlated risks Cross derivatives