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Heterogeneous Impatience in a Continuous-Time Model
Hara, Chiaki - Institute of Economic Research, Kyoto University - 2009
tolerance and impatience affects the representative consumer's risk tolerance and impatience. We derive some formulas, which … indicate that the representative consumer's impatience decrease over time, and whether his risk tolerance increases or … of risk tolerance with respect to own consumptions) and impatience. These results are then used to show that the short …
Persistent link: https://www.econbiz.de/10005385274
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Heterogeneous Impatience in a Continuous-Time Model
Hara, Chiaki - Center for Intergenerational Studies, Institute of … - 2008
attitudes and impatience would affect the representative consumer's counterparts. Specifically, our formulas tell us how his … risk tolerance and impatience will change over time, and how his impatience will be affected by the changes in aggregate …
Persistent link: https://www.econbiz.de/10005018229
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Complete Monotonicity of the Representative Consumer's Discount Factor
Hara, Chiaki - Center for Intergenerational Studies, Institute of … - 2008
A univariate real-valued function is said to be completely monotone if it takes positive values and alternate the signs of its higher order derivatives, starting from everywhere negative first derivatives. We prove that the representative consumer's discount factor of a continuous-time economy...
Persistent link: https://www.econbiz.de/10005018222
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Heterogeneous impatience and dynamic inconsistency
Hara, Chiaki - Center for Intergenerational Studies, Institute of … - 2012
It has been shown in the literature that if the individual consumers have constant but unequal time discount rates, then the representative consumer has discount rates that is a strictly decreasing function of time, just as is the case of hyperbolic discounting. No contribution, however, has so...
Persistent link: https://www.econbiz.de/10010552976
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Complete Monotonicity of the Representative Consumer's Discount Factor
Hara, Chiaki - Institute of Economic Research, Kyoto University - 2007
A univariate real-valued function is said to be completely monotone if it takes positive values and alternate the signs of its higher order derivatives, starting from everywhere negative first derivatives. We prove that the representative consumer's discount factor of a continuous-time economy...
Persistent link: https://www.econbiz.de/10005422898
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Heterogeneous Beliefs in a Continuous-Time Model
Hara, Chiaki - Institute of Economic Research, Kyoto University - 2010
In an exchange economy under uncertainty populated by consumers having constant and equal relative risk aversion but heterogeneous probabilistic beliefs, we analyze the nature of the representative consumer's probabilistic belief and discount rates. We prove a formula that implies that the...
Persistent link: https://www.econbiz.de/10008488927
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Heterogeneous Risk Attitudes in a Continuous-Time Model
Hara, Chiaki - Institute of Economic Research, Kyoto University - 2005
We prove that every continuous-time model in which all consumers have time-homogeneous and time-additive utility functions and share a common probabilistic belief and a common discount rate can be reduced to a static model. This result allows us to extend some of the existing results on the...
Persistent link: https://www.econbiz.de/10005422899
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Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
Hara, Chiaki; Huang, James; Kuzmics, Christoph - Institute of Economic Research, Kyoto University - 2008
We provide necessary and sufficient conditions on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for options...
Persistent link: https://www.econbiz.de/10005385281
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Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
Hara, Chiaki; Huang, James; Kuzmics, Christoph - Center for Intergenerational Studies, Institute of … - 2008
We provide a necessary and a sufficient condition on an individual's expected utility function under which any zero-mean idiosyncratic risk increases cautiousness (the derivative of the reciprocal of the absolute risk aversion), which is the key determinant for this individual's demand for...
Persistent link: https://www.econbiz.de/10005018277
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Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods
Hara, Chiaki - Institute of Economic Research, Kyoto University - 2009
Following LeRoy and Werner (2001), we propose a definition of effectively complete asset markets in a model with multiple goods and multiple periods, and establish the first and second welfare theorems in such markets. As applications of the first welfare theorem, we derive the sunspot...
Persistent link: https://www.econbiz.de/10008474976