Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2006
This paper analyzes the Risk Appetite Index (RAI), a measure of investors� risk aversion proposed by Kumar and … Persaud (2001, 2002). We show that the RAI distinguishes between risk and risk aversion only under theoretically restrictive … measure of risk aversion derived from the CAPM � a model that does not require those restrictive assumptions � we find …