We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

, creating endogenous risk-aversion differences across rich and poor. A closed-form solution for the model with insurable labor …-income risk serves as calibration guide for numerical simulations with uninsurable labor-income risk. …

We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante … raises both the utility of ex ante feelings and the risk of disappointment ex post. We characterize the optimal beliefs and … the preferences under risk generated by this mental process and apply this criterion to a simple portfolio choice …

This paper investigates whether preference interactions can explain why risk preferences change over time and across … favourite music increases risk-taking, and disliked music suppresses risk-taking, compared to a baseline of no music. Several … results are, however, consistent with preference complementarities that extend to risk preference. …

We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante … raises both the utility of ex ante feelings and the risk of disappointment ex post. We characterize the optimal beliefs and … the preferences under risk generated by this mental process and apply this criterion to a simple portfolio choice …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

positive correlation between the amount of insurance coverage and risk type, as in the standard economic models of adverse … coverage and risk type, i.e. advantageous selection. Since optimal choice of regretful customers depends on foregone …