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We propose a method to measure the intensity of risk aversion, prudence (downside risk aversion) and temperance (outer risk aversion) in experiments. Higher-order risk compensations are defined within the proper risk apportionment model of Eeckhoudt and Schlesinger [American Economic Review, 96...
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potentially confounding decision biases. …
Persistent link: https://www.econbiz.de/10010427591
study of economic decision making. We propose a method to jointly measure the intensity of risk aversion, prudence, and …
Persistent link: https://www.econbiz.de/10014041927
Companies have overlapping exposures to many different features that might plausibly affect their returns, like whether they're involved in a crowded trade, whether they're mentioned in an M&A rumor, or whether their supplier recently missed an earnings forecast. Yet, at any point in time, only...
Persistent link: https://www.econbiz.de/10013032176
This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options for five commodities (corn, soybeans, Chicago wheat, live...
Persistent link: https://www.econbiz.de/10012889824
Higher order risk preferences are important determinants of choices under uncertainty. After clarifying some terminological and methodological issues, we are able to confi rm, by using data collected by a questionnaire, the well established result of the preference of the majority of the...
Persistent link: https://www.econbiz.de/10012890287
We use a DSGE model that generates endogenous movements in risk premia to examine the positive and normative implications of alternative monetary policy rules. As emphasized by the micro-finance literature, variation in risk arises because households face fixed costs of transferring cash across...
Persistent link: https://www.econbiz.de/10013140045