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. …

plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … solubility and weak identification. We propose a twostep estimation strategy that combines GMM and SMM, and for which we elicit … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as …

has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to …

of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …

of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk …, while time-varying consumption/wealth may capture time-varying risk aversion. …

patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, (iii) are strongly serially …