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Risk Preferences are Not Time Preferences : Discounted Expected Utility with a Disproportionate Preference for Certainty

Andreoni, James - 2010

Risk and time are intertwined. The present is known while the future is inherently risky. Discounted expected utility provides a simple, coherent structure for analyzing decisions in intertemporal, uncertain environments. However, we document robust violations of discounted expected utility,...

Persistent link: https://www.econbiz.de/10013138320

Survival Ambiguity and Welfare

Caliendo, Frank - 2017

this assumption. If there is no annuity market, then the welfare cost of survival ambiguity is large and regressive …. Individuals would pay as much as 1% of total lifetime consumption for immediate resolution of ambiguity and the bottom income …, survival ambiguity is welfare improving because it allows competitive insurance companies to pool risk across survival types …

Persistent link: https://www.econbiz.de/10012950059

Gender Differences in Risk Aversion and Ambiguity Aversion

Borghans, Lex - 2010

This paper demonstrates gender differences in risk aversion and ambiguity aversion. It also contributes to a growing … introduction of ambiguity but men do. At greater levels of ambiguity, women have the same marginal distaste for increased ambiguity … the differences in ambiguity …

Persistent link: https://www.econbiz.de/10012757873

Exotic Preferences for Macroeconomists

Backus, David - 2004

We provide a user's guide to exotic' preferences: nonlinear time aggregators, departures from expected utility, preferences over time with known and unknown probabilities, risk-sensitive and robust control, hyperbolic' discounting, and preferences over sets ( temptations'). We apply each to a...

Persistent link: https://www.econbiz.de/10012785581

International Portfolio Diversification with Generalized Expected Utility Preferences

Aizenman, Joshua - 2008

This paper revisits the Home Bias Puzzle -- the relatively low interna- tional diversification of portfolios. We suggest that part of the diversifi- cation puzzle may be due to reliance on the conventional CAPM model as the benchmark predicting patterns of diversification. We compare the asset...

Persistent link: https://www.econbiz.de/10012774958

Consumption Commitments, Unemployment Durations, and Local Risk Aversion

Chetty, Raj - 2004

Studies of risk preference have empirically established two regularities that are inconsistent with the canonical expected utility model: (1) risk aversion over small gambles greatly exceeds risk aversion over larger stakes and (2) insurance buyers play the lottery. This paper characterizes risk...

Persistent link: https://www.econbiz.de/10012785960

A New Method of Estimating Risk Aversion

Chetty, Raj - 2003

This paper develops a method of estimating the coefficient of relative risk aversion (g) from data on labor supply. The main result is that existing estimates of labor supply elasticities place a tight bound on g, without any assumptions beyond those of expected utility theory. It is shown that...

Persistent link: https://www.econbiz.de/10012786381

Ambiguity and Climate Policy

Millner, Antony - 2010

and dynamic versions of a smooth ambiguity model to climate policy, obtaining general results on the comparative statics … of optimal abatement and ambiguity aversion and illustrating this sufficient condition in some simple examples. Greater … ambiguity aversion may lead to more or less abatement depending on the details of the model. We then extend our analysis to a …

Persistent link: https://www.econbiz.de/10013142547

Prior Selection for Vector Autoregressions

Giannone, Domenico - 2012

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....

Persistent link: https://www.econbiz.de/10013099106

Ancient Origins of the Global Variation in Economic Preferences

Becker, Anke - 2018

Variation in economic preferences is systematically related to both individual and aggregate economic outcomes, yet little is known about the origins of the worldwide preference variation. This paper uses globally representative data on risk aversion, time preference, altruism, positive...

Persistent link: https://www.econbiz.de/10012919064