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
Copyright
The copyright of this thesis is owned by its author. Any reproduction, adaptation, distribution or dissemination of this thesis without express authorization is strictly prohibited.
Recommended Citation
Zhou, L. (2024). Essays on multivariate risk (Doctoral thesis, Lingnan University, Hong Kong). Retrieved from https://commons.ln.edu.hk/otd/235/
Included in
Business Administration, Management, and Operations Commons, Finance and Financial Management Commons