Private Risk

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/1721.1/3525

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DC Field	Value	Language
dc.creator	Kaufman, Gordon M.	-
dc.creator	Mattar, Mahdi	-
dc.date	2003-06-27T19:20:56Z	-
dc.date	2003-06-27T19:20:56Z	-
dc.date	2003-06-27T19:20:56Z	-
dc.date.accessioned	2013-06-04T16:19:10Z	-
dc.date.available	2013-06-04T16:19:10Z	-
dc.date.issued	2013-06-05	-
dc.identifier	http://hdl.handle.net/1721.1/3525	-
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/1721	-
dc.description	We extend the traditional decision analytic approach to calculation of the buying (selling) price of a lottery by allowing a risk averse (risk prone) decision maker to rebalance his financial portfolio in the course of determination of these prices. Building on the classical portfolio allocation problem in complete markets, we generalize the standard treatment to include both traded and non-traded unique risks. Our principal focus is on private risks-risks that are not tradable or traded in financial markets. We show that allowing portfolio rebalancing in a distributive bargaining setting with risk averse negotiators expands the zone of possible agreement [ZOPA] relative to the ZOPA yielded when rebalancing is not allowed.	-
dc.format	233613 bytes	-
dc.format	application/pdf	-
dc.language	en_US	-
dc.relation	MIT Sloan School of Management Working Paper;4316-03	-
dc.subject	Private Risks	-
dc.subject	Portfolio Rebalancing	-
dc.title	Private Risk	-
dc.type	Working Paper	-
Appears in Collections:	MIT Items

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