Increasing Generalized Correlation: A Definition and Some Economic Consequences |
Common terms and phrases
analysis asset returns attitude towards correlation better hedge bivariate Brumelle CAF CAV CAF or CN CAV CAF continuous function correlation affine correlation averse correlation increasing transformation correlation than F corresponding covariance decision problem define definition of greater demand for bonds denote discrete r.v.'s effects of increased Eh X1 elementary correlation increasing expected utility theory expected value F and G F S G F SDG F(t₁ future wealth greater correlation hedging power Hotelling's Lemma i₁ increased correlation increases in correlation increasing transformation CIT induced j₁ Lemma lottery marginal distributions nondecreasing portfolio diversification positively interdependent power of bonds pr Y1 Pr(X₁ Pr(Y₁ probability distributions random variables X₁ real return risk aversion sequence strictly concave T-transformations t₁ t₂ Theorem theoretically sound definition u(x₁ u(Y₁,Y₂ utility functions X₁ and X2 X₂ X₂)u Y₁ Y₂