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 |
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ASJC Scopus subject areas
- Economics and Econometrics
- Business, Management and Accounting(all)
Cite this
Expected utility and the siegel paradox : A generalization. / Aboudi, Ronny; Thon, Dominique.
In: Journal of Economics Zeitschrift für Nationalökonomie, Vol. 57, No. 1, 01.02.1993, p. 69-93.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Expected utility and the siegel paradox
T2 - A generalization
AU - Aboudi, Ronny
AU - Thon, Dominique
PY - 1993/2/1
Y1 - 1993/2/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=34250076235&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=34250076235&partnerID=8YFLogxK
U2 - 10.1007/BF01237437
DO - 10.1007/BF01237437
M3 - Article
AN - SCOPUS:34250076235
VL - 57
SP - 69
EP - 93
JO - Journal of Economics/ Zeitschrift fur Nationalokonomie
JF - Journal of Economics/ Zeitschrift fur Nationalokonomie
SN - 0931-8658
IS - 1
ER -