When Is a Risky Asset Urgently Needed?

• 成果类型: Article
• 署名作者: Kubler, Felix; Selden, Larry; Wei, Xiao
• 署名单位: University of Zurich; University of Pennsylvania; Columbia University; University of Pennsylvania
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.6.2.131
• 发表日期: 2014
• 页码: 131-162
• 关键词: Giffen goods; aversion; utility; preferences; absolute; demand; trees

摘要

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.