Date of Award

7-18-2024

Degree Type

Thesis

Degree Name

Doctor of Philosophy (PhD)

Discipline

Business

First Advisor

Prof. LI Jingyuan

Second Advisor

Prof. SUN Tao

Abstract

The essays focus on the analysis of multivariate risk, and they present insights in three papers. The first paper extends stochastic dominance to bivariate analysis by incorporating a reference function. Our approach offers flexibility in the selection of a reference function, improving upon previous studies by addressing their limitations more cohesively. The second paper explores a general choice-theoretic characterization of the duality that exists between a mean-utility-preserving increase in correlation and an increase correlation aversion. This sheds light on monotone comparative statics and characterizes cross-partial derivatives of the utility function. The last paper investigates optimal prevention in the presence of correlated non-financial background risk. Under positive correlation, cross-prudence in the non-financial attribute is found to lower optimal prevention.

Language

English

Recommended Citation

Zhou, L. (2024). Essays on multivariate risk (Doctoral thesis, Lingnan University, Hong Kong). Retrieved from https://commons.ln.edu.hk/otd/235/

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