Fulltext

On Bivariate Risk Premia

Courbage, Christophe

In: Theory and Decision, 2001, vol. 50, no. 1, p. 29-34

Aggiungi alla tua lista
    Titre
    • On Bivariate Risk Premia
    Auteur
    • Courbage, Christophe. Department of Political Economy, University of Geneva, 102 Bd Carl-Vogt, CH-1211, Genève 4, Switzerland
    Type de document
    • Postprint
    Langue
    • Inglese
    Publié dans
    • Theory and Decision, 2001, vol. 50, no. 1, p. 29-34. Kluwer Academic Publishers
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:315413
    Summary
    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