On Bivariate Risk Premia

Theory and Decision 50 (1):29-34 (2001)
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Abstract

This note examines the conditions under which the bivariate risk premium for one risk may be negative even if both risks are positively correlated, using a mean variance setting. The link between the bivariate risk premium and the partial bivariate risk premia is also investigated

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10.1023/a:1005213530647

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Multivariate risk premiums.R. Ambarish & J. G. Kallberg - 1987 - Theory and Decision 22 (1):77-96.

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