Theory and Decision

, Volume 50, Issue 1, pp 29–34

On Bivariate Risk Premia

Article

DOI: 10.1023/A:1005213530647

Cite this article as:
Courbage, C. Theory and Decision (2001) 50: 29. doi:10.1023/A:1005213530647

Abstract

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 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Kluwer Academic Publishers 2001

Authors and Affiliations

  1. 1.Department of Political EconomyUniversity of GenevaGenève 4Switzerland

Personalised recommendations