On Bivariate Risk Premia

Theory and Decision 50 (1):29-34 (2001)
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
Keywords Multivariate risk aversion  Bivariate risk premium  Partial bivariate risk premium  Correlated risks  Cross derivatives
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DOI 10.1023/A:1005213530647
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