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|
|Categories||categorize this paper)|
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