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On Bivariate Risk Premia

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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.

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Authors and Affiliations

  1. Department of Political Economy, University of Geneva, 102 Bd Carl-Vogt, CH-1211, Genève 4, Switzerland

    Christophe Courbage

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  1. Christophe Courbage
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Correspondence to Christophe Courbage.

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Courbage, C. On Bivariate Risk Premia. Theory and Decision 50, 29–34 (2001). https://doi.org/10.1023/A:1005213530647

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