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Risk Aversion

Monotone Risk Aversion.

Monotone Risk Aversion.

... absolute risk aversion function of ...increasing risk averse utility functions u that exhibit decreasing (increasing) absolute risk aversion and have value zero at ...ofabsolute ...

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Credence goods, experts and risk aversion

Credence goods, experts and risk aversion

... considering risk-averse consumers. Our results show that the presence of risk aversion reduces the expert’s incentive to invest in diagnosis and may thus lead to consumers’ ...

11

Measuring Risk Aversion and the Wealth Effect

Measuring Risk Aversion and the Wealth Effect

... One possible explanation for the disintegration of wealth with laboratory income can be found in mental accounting 6 : subjects treat an experiment and each decision situation as one entity for which they have an ...

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ICAPM with time-varying risk aversion

ICAPM with time-varying risk aversion

... as risk factors that price the cross-section of ex-post average ...relative risk aversion associated with the original utility function, is constant through ...relative risk aversion ...

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Credence goods, experts and risk aversion

Credence goods, experts and risk aversion

... the risk aversion of the consumer induces the expert to fully ensure the consumer by setting the same price for both ...the risk premium while under asymmetric information the expert is constrained ...

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Gender Differences in Risk Aversion and Ambiguity

Gender Differences in Risk Aversion and Ambiguity

... more risk averse than men (see ...ambiguity aversion, Schubert et ...more risk averse and ambiguity ...small-stakes risk aversion and short-run time preference are inversely related to ...

18

Recovering risk aversion from options

Recovering risk aversion from options

... the risk-neutral probability densities functions (PDFs) for the future values of the underlying ...that risk-neutral PDFs differ from market expectations due to risk ...the risk-neutral PDF to ...

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Risk aversion influence on insurance market

Risk aversion influence on insurance market

... with risk aversion negotiate the terms of an insurance ...of risk aversion, we preferred to use factor the  rather than a utility ...Thus, risk aversion is considered equivalent ...

11

On risk aversion in the Rubinstein bargaining game

On risk aversion in the Rubinstein bargaining game

... that risk aversion may increase a bargainers ...greater risk neutrality to a smaller payoff - does not rely on imperfect information or departures from expected utility maximiza- ...

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w MPS Risk Aversion and the CAPM

w MPS Risk Aversion and the CAPM

... It is noted that the existing proofs of equilibrium pro- vided in these earlier studies cited above are all with re- spect to the standard Warasian equilibrium in a context of certainty. In contrast, the existing proof ...

11

Risk aversion and debt maturity structure

Risk aversion and debt maturity structure

... of risk aversion and debt maturity ...higher risk and allows for the study of the effect of risk aversion on optimal maturity ...as risk aversion increases, so does the ...

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The Values of Relative Risk Aversion Degrees

The Values of Relative Risk Aversion Degrees

... This article proposes to use lotteries to interpret higher degrees of rela- tive risk aversion (relative prudence, relative temperance,etc.). Following Eeckhoudt and Schlesinger (2008) and Eeckhoudt, Etner ...

10

Increases in risk aversion and the distribution of portfolio payoffs

Increases in risk aversion and the distribution of portfolio payoffs

... less risk averse than another will choose a portfolio whose payoff is distributed as the other’s payoff plus a non-negative random variable plus conditional-mean-zero ...absolute risk aversion, then ...

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Relationships between risk aversion, prudence, and cautiousness

Relationships between risk aversion, prudence, and cautiousness

... comparative risk aversion and prudence in Pratt (1964) and Kimball (1990) to the inter-personal ...relative risk aver- ...risk aversion. Section 6 discusses extensions of the results on ...

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Exchange Rates, Macroeconomic  Fundamentals and Risk Aversion

Exchange Rates, Macroeconomic Fundamentals and Risk Aversion

... of risk aversion in the foreign exchange market, liquidity preferences reflected in the term structure of domestic and foreign interest rates, and ex-ante profitability opportunities reflected in imbalances ...

8

Are Risk Aversion and Impatience Related to Cognitive Ability?

Are Risk Aversion and Impatience Related to Cognitive Ability?

... why risk aversion and impatience are associated with lower cognitive ...explain risk aversion even in small stakes lotteries, because people fail to integrate a small individ- ual risky ...

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Utility maximization, risk aversion, and stochastic dominance

Utility maximization, risk aversion, and stochastic dominance

... her risk aversion and the dis- tribution of the optimal terminal ...high risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in a ...

13

Stochastic Dominance and Absolute Risk Aversion

Stochastic Dominance and Absolute Risk Aversion

... Our analysis is based on the use of the key observation made by Diamond and Stiglitz (1974), Meyer (1977) and Lambert and Hey (1979) that two random variables can be ranked according to MSOSD if and only if any common ...

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Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

... relative risk aversion but are heterogeneous with respect to the degree of relative risk ...relative risk aversion is chosen such that the theoretical equity premium is matched to the ...

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Decreasing Relative Risk Aversion and Tests of Risk Sharing

Decreasing Relative Risk Aversion and Tests of Risk Sharing

... relative risk aversion (RRA) coefficient should decrease as a household becomes ...full risk sharing hypothesis in the empirical literature are derived using preferences that exhibit either ...

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