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relative risk aversion

Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data

Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data

... whether relative risk aversion varies with ...of relative risk aversion varying with wealth over time after correcting those two mis-identification ...

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Option bounds from concurrently expiring options when relative risk aversion is bounded

Option bounds from concurrently expiring options when relative risk aversion is bounded

... investor’s relative risk aversion is bounded above and below by γ and γ respectively, we show that given n observed options, the upper (lower) option bound is given by a pricing kernel that has ...

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Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries

Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries

... of the coefficient of relative risk aversion tends to have a negative bias due to small sample problem. He also showed that the other estimates in the equation are not biased. In the next sections we ...

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Volatility and Correlation Timing in Active Currency Management

Volatility and Correlation Timing in Active Currency Management

... of relative risk aversion equal to 6 is willing to pay for switching from MLR to one of the dynamic strategies and is reported in annual basis ...

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A Reconsideration of the Equity Premium Puzzle

A Reconsideration of the Equity Premium Puzzle

... the risk free ...the relative risk aversion and time preference rate for several economies using the theoretical framework developed ...median relative risk aversion ...

16

Optimal Investment Strategy for Defined Contribution Pension Scheme under the  Heston Volatility Model

Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model

... Constant Relative Risk Aversion (CRRA) utility function was considered, vola- tility was assumed to follow the Heston model with constant interest rate, while How to cite this paper: Okonkwo, ...

10

Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy

Impact of the Degree of Relative Risk Aversion, the Interest Rate and the Exchange Rate Depreciation on Economic Welfare in a Small Open Economy

... The number of investigations dealing with the impact of nominal variables on economic welfare is large and still increasing; see, for instance: Pugsley and Rubinton (2016), Shi (2015), Soriano-Morales et al. (2015), and ...

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Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil

Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil

... of relative risk aversion from the intertemporal elasticity of substitution, is ...constant relative risk aversion ...substitution, relative risk aversion ...

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Two Equations on the Pareto Efficient Sharing of Real GDP Risk

Two Equations on the Pareto Efficient Sharing of Real GDP Risk

... of relative risk aversion, which may be below or above ...RGDP risk even when both the borrower and the lender have the same relative risk aversion that is below or above ...

23

Extraction of non renewable resources: a differential game approach

Extraction of non renewable resources: a differential game approach

... In this paper we propose a model of nonrenewable resource extraction along the lines of the classical Hotelling model and his successors. We adopt the dynamic programming techniques in order to extract the equilibrium ...

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What can multiple price lists really tell us about risk preferences?

What can multiple price lists really tell us about risk preferences?

... of relative risk aversion (CRRA) implied by a switch between choosing option A and option B under the assumption that subjects have prospect-theory preferences where they weigh ...

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The Effect of Prices on Risk Aversion

The Effect of Prices on Risk Aversion

... upon risk aversion. While the effect of wealth upon risk aversion is very well understood, it seems curious that no analysis of the effects of prices has been done, given that the indirect ...

5

Fat Tails and Spurious Estimation of Consumption Based Asset Pricing Models

Fat Tails and Spurious Estimation of Consumption Based Asset Pricing Models

... prices and a fat tailed consumption distribution from a tractable incomplete- market dynamic general equilibrium model and show in a Monte Carlo study that there are potential pitfalls to this practice of averaging: in ...

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Endogenous Growth Models in Open Economies: A Possibility of Permanent Current Account Deficits

Endogenous Growth Models in Open Economies: A Possibility of Permanent Current Account Deficits

... of relative risk aversion is because it has been reported that the degree of relative risk aversion in Japan is relatively higher than that in the ...of risk ...

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Should the optimal portfolio be region specific? A multi region model with monetary policy and asset price co movements

Should the optimal portfolio be region specific? A multi region model with monetary policy and asset price co movements

... We solve the model by taking fi rst-order Taylor approximations of the equations around a deterministic steady state. As in most DSGE models, the model is calibrated to match certain stylized facts of the US economy in a ...

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Towards a Purely Behavioral Definition of Loss Aversion

Towards a Purely Behavioral Definition of Loss Aversion

... loss aversion should be viewed as not only a result of the utility function’s curvature, but also as a consequence of the difference in which probabilities of gains and probabilities of losses are distorted, then ...

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Standard Risk Aversion and Efficient Risk Sharing

Standard Risk Aversion and Efficient Risk Sharing

... background risk y e in …nal wealth. The background risk is drawn from a compact interval Y R ; it can take both positive and negative values and is statistically independent of x: e 5 The probability ...

12

Bargaining, Aggregate Demand and Employment

Bargaining, Aggregate Demand and Employment

... Theoretically, two fundamentally different explanations for the fall in the labour share exist. The first claims that technological progress favored capital return, while the second identifies institutional changes as ...

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Standard Risk Aversion and Efficient Risk Sharing

Standard Risk Aversion and Efficient Risk Sharing

... background risk on the group’s investment ...background risk y e that raises the representative agent’s expected marginal utility under the optimal choice ; ...

10

Experimental Studies of Impacts of  Reference Point and Its Change on  Individual Value

Experimental Studies of Impacts of Reference Point and Its Change on Individual Value

... Prospect theory believes that value judgments of decision-makers are associated with reference point. Based on this intuition, this paper analyzes the impacts of reference point as well as its change on individual value ...

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