蝌蚪网 Journal:
Microeconomics
ISSN 1945-7669 (Print) | ISSN 1945-7685 (Online)
When Is a Risky Asset "Urgently Needed"?
蝌蚪网 Journal: Microeconomics
(pp. 131–62)
Abstract
Risk free asset demand in the classic portfolio problem is shown to decrease with income if and only if the consumer's uncertainty preferences over assets satisfy the preference condition that the risk free asset is more readily substituted for the risky asset as the quantity of the latter increases. In this case, the risky asset is said to be "urgently needed" following the terminology of the classic certainty analysis of Johnson (1913). The urgently needed property tends to be more readily satisfied in uncertainty versus certainty settings. Asset pricing implications of this property are provided.Citation
Kubler, Felix, Larry Selden, and Xiao Wei. 2014. "When Is a Risky Asset "Urgently Needed"?" 蝌蚪网 Journal: Microeconomics 6 (2): 131–62. DOI: 10.1257/mic.6.2.131Additional Materials
JEL Classification
- D11 Consumer Economics: Theory
- D53 General Equilibrium and Disequilibrium: Financial Markets
- D81 Criteria for Decision-Making under Risk and Uncertainty
- G11 Portfolio Choice; Investment Decisions
- G12 Asset Pricing; Trading Volume; Bond Interest Rates