Abstract
It was recently shown by Sinn that, under certain conditions, because of the Siegel paradox, even risk-averse agents can find speculation on forward currency markets attractive. His assumptions are that the spot and forward rates are identically distributed and statistically independent and that the agents' coefficients of relative risk aversion are constant and inferior to unity. We show that both assumptions of statistical independence and constant relative risk aversion can be dramatically relaxed.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 69-93 |
| Number of pages | 25 |
| Journal | Journal of Economics Zeitschrift für Nationalökonomie |
| Volume | 57 |
| Issue number | 1 |
| DOIs | |
| State | Published - Feb 1 1993 |
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Economics and Econometrics
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Aboudi, R., & Thon, D. (1993). Expected utility and the siegel paradox: A generalization. Journal of Economics Zeitschrift für Nationalökonomie, 57(1), 69-93. https://doi.org/10.1007/BF01237437