Risk premiums for multiperiod risks
AbstractThere is a host of papers dealing with risk premiums for multidimensional or multi-attribute problems. For definition of multivariate risk premium and multivariate risk aversion we refer to ,  or . This paper develops characterizations of multiperiod risk premium. In general, risk premiums represent the way how the risk of investment possibilities can be evaluated when utility function of decision maker is known. The construction of multiperiod risk premium is based on the preference indifference between accepting a multiperiod game and rejecting this game. The possibility of accepting the game only in some time periods is included. The results in  and  are generalized for multiperiod problem. Considering directional, partial and conditional multiperiod risk premiums, the connection between multiperiod risk aversion and multiperiod risk premiums is proved.
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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 11 (2004)
Issue (Month): 21 ()
multiperiod risk premiums; multiperiod risk aversion; utility function;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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