期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2009
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：In this paper, we consider a d¨¦cision-maker facing a financial risk flanked by a
background risk, possibly non-financial, such as health or environmental risk. A
decision has to be made about the amount of an investment (in the financial
dimension) resulting in a future benefit either in the same dimension (savings) or in
the order dimension (environmental quality or health improvement). In the first
case, we show that the optimal amount of savings decreases as the pair of risks
increases in the bivariate increasing concave dominance rules of higher degrees
which express the common preferences of all the decision-makers whose twoargument
utility function possesses direct and cross derivatives fulfilling some
specific requirements. Roughly speaking, the optimal amount of savings decreases
as the two risks become "less positively correlated" or marginally improve in
univariate stochastic dominance. In the second case, a similar conclusion on
optimal investment is reached under alternative conditions on the derivatives of the
utility function.
